A comparison of Lee-Carter and Cairns-Blake-Dowd stochastic mortality models

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

A comparison of Lee-Carter and Cairns-Blake-Dowd stochastic mortality models

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

A comparison of Lee-Carter and Cairns-Blake-Dowd stochastic mortality models

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/EE2.3.30.0058" target="_blank" >EE2.3.30.0058: Rozvoj kvalitních vědeckovýzkumných týmů na Univerzitě Pardubice</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

5

Strana od-do

130-134

Název nakladatele

WSEAS Press

Místo vydání

Atény

Místo konání akce

Lisbon

Datum konání akce

30. 10. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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