Open AccessProposition of a hybrid stochastic Lee-Carter mortality model
Author(s) -
Agnieszka Rossa,
L. Socha
Publication year - 2013
Publication title -
metodološki zvezki
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.127
H-Index - 7
eISSN - 1854-0031
pISSN - 1854-0023
DOI - 10.51936/bvkn7774
Subject(s) - stochastic differential equation , stochastic modelling , mathematics , econometrics , computer science , mathematical economics , statistics
In the paper, a stochastic hybrid mortality model (EHLC) treated as a solution of stochastic differential equations is introduced. The model is defined analogously to the well-known Lee-Carter mortality model (LC). A parameter estimation procedure including a switching rule are proposed. A comparison of the predictive accuracy of the LC and EHLC models based on the mortality data for Poland has shown that the new model yields better results.