Lee-Carter family of stochastic mortality models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F14%3A39898368" target="_blank" >RIV/00216275:25410/14:39898368 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Lee-Carter family of stochastic mortality models
Original language description
Insurance companies are affected by many different kinds of risks. In the case of life insurance there are two main risks: the investment risk and the demographic risk. The latter can be split into insurance risk due to the random deviation of the numberof deaths from its expected value, and longevity risk deriving from the improvement in mortality rates. Numbers of stochastic models have been developed to analyse the mortality improvement. This paper focuses on the family of Lee-Carter models. We usedata on male's deaths and exposures for the Czech Republic from the Human Mortality Database. We write the code associated with models in R. However, for actuaries the fitting of a model is usually only the first step and the main purpose is the forecasting of mortality.
Czech name
—
Czech description
—

Project
<a href="/en/project/EE2.3.30.0058" target="_blank" >EE2.3.30.0058: Development of Research Teams at the University of Pardubice</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Managing and modelling of financial risks: 7th international scientific conference
ISBN
978-80-248-3631-7
ISSN
—
e-ISSN
—
Number of pages
9
Pages from-to
209-217
Publisher name
Vysoká škola báňská-Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 8, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
—

Similar results(10)