Comparison of stochastic mortality model for wider age range
The incorporation of non-linear pattern of early ages has opened new research directions on improving the existing stochastic mortality model structure. Several authors have outlined the importance of encompassing the full age range in dealing with longevity risk exposure by not to ignore the depend...
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my.utm.856972020-07-20T01:25:36Z http://eprints.utm.my/id/eprint/85697/ Comparison of stochastic mortality model for wider age range Mohd. Nor, Siti Rohani Yusof, Fadhilah Bahar, Arifah QA Mathematics The incorporation of non-linear pattern of early ages has opened new research directions on improving the existing stochastic mortality model structure. Several authors have outlined the importance of encompassing the full age range in dealing with longevity risk exposure by not to ignore the dependence between young and old age. In this study, we consider the two extensions of Cairns, Blake and Dowd model that incorporate the irregularity profile seen at the mortality of lower ages which are Plat and O’Hare and Li. The models’ performances in terms of in-sample fitting and out-sample forecasts were examined and compared. The results indicated that O’Hare and Li model performs better as compared to Plat model. Penerbit UTM Press 2018 Article PeerReviewed application/pdf en http://eprints.utm.my/id/eprint/85697/1/SitiRohaniMohd2018_ComparisonofStochasticMortalityModelforWider.pdf Mohd. Nor, Siti Rohani and Yusof, Fadhilah and Bahar, Arifah (2018) Comparison of stochastic mortality model for wider age range. Matematika, 34 (2). pp. 227-233. ISSN 0127-9602 http://dx.doi.org/10.11113/matematika.v34.n2.1014 DOI:10.11113/matematika.v34.n2.1014 |
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QA Mathematics Mohd. Nor, Siti Rohani Yusof, Fadhilah Bahar, Arifah Comparison of stochastic mortality model for wider age range |
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The incorporation of non-linear pattern of early ages has opened new research directions on improving the existing stochastic mortality model structure. Several authors have outlined the importance of encompassing the full age range in dealing with longevity risk exposure by not to ignore the dependence between young and old age. In this study, we consider the two extensions of Cairns, Blake and Dowd model that incorporate the irregularity profile seen at the mortality of lower ages which are Plat and O’Hare and Li. The models’ performances in terms of in-sample fitting and out-sample forecasts were examined and compared. The results indicated that O’Hare and Li model performs better as compared to Plat model. |
format |
Article |
author |
Mohd. Nor, Siti Rohani Yusof, Fadhilah Bahar, Arifah |
author_facet |
Mohd. Nor, Siti Rohani Yusof, Fadhilah Bahar, Arifah |
author_sort |
Mohd. Nor, Siti Rohani |
title |
Comparison of stochastic mortality model for wider age range |
title_short |
Comparison of stochastic mortality model for wider age range |
title_full |
Comparison of stochastic mortality model for wider age range |
title_fullStr |
Comparison of stochastic mortality model for wider age range |
title_full_unstemmed |
Comparison of stochastic mortality model for wider age range |
title_sort |
comparison of stochastic mortality model for wider age range |
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Penerbit UTM Press |
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2018 |
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http://eprints.utm.my/id/eprint/85697/1/SitiRohaniMohd2018_ComparisonofStochasticMortalityModelforWider.pdf http://eprints.utm.my/id/eprint/85697/ http://dx.doi.org/10.11113/matematika.v34.n2.1014 |
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