Proposition of a hybrid stochastic Lee-Carter mortality model | Zendy

Agnieszka Rossa | Zendy; L. Socha | Zendy

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Proposition of a hybrid stochastic Lee-Carter mortality model

Author(s) -

Agnieszka Rossa,

L. Socha

Publication year - 2013

Publication title -

advances in methodology and statistics

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.

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