The Error Modelling for the Forecasting of the Mortality Index

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86084634" target="_blank" >RIV/61989100:27510/12:86084634 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
The Error Modelling for the Forecasting of the Mortality Index
Original language description
The article deals with life underwriting risk management. Forecasting mortality is an important issue for insurance companies and pension funds to manage their risks following from contracts between policyholders and companies. For the insurance companies the new solvency rules will be implemented in 2013. Within the Solvency II the insurance companies should determine the capital requirement for mortality/longevity risks.. The insurance companies should use a stochastic approach for an assessment of mortality/longevity risks. The Lee-Carter model (1992) is still used and popular approach for forecasting mortality rate. The aim of the paper is to apply the Lee-Carter model for the mortality tables for males and females in the Czech Republic and to model the error for forecasting of mortality index. The error terms of the model for forecasting mortality are assumed to follow Gaussian distribution. But the error terms are not Gaussian distributed on the basis of characteristics such as s
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Řízení a modelování finančních rizik : sborník příspěvků z 6. mezinárodní vědecké konference : 10.-11. září 2012, Ostrava, Česká republika
ISBN
978-80-248-2835-0
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
482-489
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 10, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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