A comparison of Lee-Carter and Cairns-Blake-Dowd stochastic mortality models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F14%3A39898369" target="_blank" >RIV/00216275:25410/14:39898369 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
A comparison of Lee-Carter and Cairns-Blake-Dowd 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 Lee-Carter and Cairns-Blake-Dowd models.We use data on male's deaths and exposures for the Czech Republic from the Human Mortality Database. We write the code associated with models in R. In this paper we propose using the CBD model as a longevity risk indicator. The indicator contains only two set of numbers, and , each of which is readily interpretable and they together tell how mortality rates at different ages change with time. It has the new-data invariant property.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
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)
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical Methods in Science and Mechanics, Proceedings of the 16-th International Conference on Mathematical Methods, Computational Techniques and Intelligent Systems (MAMECTIS'14)
ISBN
978-960-474-396-4
ISSN
2227-4588
e-ISSN
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Number of pages
5
Pages from-to
130-134
Publisher name
WSEAS Press
Place of publication
Atény
Event location
Lisbon
Event date
Oct 30, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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