Comparison of selected stochastic mortality models

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Comparison of selected 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. 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.

Název v anglickém jazyce

Comparison of selected 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. 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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

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

2015

Kód důvěrnosti údajů

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

Název periodika

International Journal of Mathematical Models and Methods in Applied Sciences

ISSN

1998-0140

e-ISSN

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Svazek periodika

Volume 9

Číslo periodika v rámci svazku

9

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

7

Strana od-do

159-165

Kód UT WoS článku

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EID výsledku v databázi Scopus

2-s2.0-84926479344