Comparison of selected 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%2F15%3A39899378" target="_blank" >RIV/00216275:25410/15:39899378 - isvavai.cz</a>
Result on the web
<a href="http://www.naun.org/main/NAUN/ijmmas/2015/a382001-348.pdf" target="_blank" >http://www.naun.org/main/NAUN/ijmmas/2015/a382001-348.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Comparison of selected 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. We compare three stochastic models explaining improvements inmortality in the Czech Republic. This paper focuses on Lee-Carter and Cairns-Blake-Dowd models. We use data on males deaths and exposures for the Czech Republic from the Human Mortality Database. We write the code associated with models in R. We show graphical comparison of the model fits. We find that an extension of the Cairns-Blake-Dowd model that incorporates a cohort effect fits the Czech Republic males data best.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
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
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
International Journal of Mathematical Models and Methods in Applied Sciences
ISSN
1998-0140
e-ISSN
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Volume of the periodical
Volume 9
Issue of the periodical within the volume
9
Country of publishing house
US - UNITED STATES
Number of pages
7
Pages from-to
159-165
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-84926479344