Modeling stochastic mortality with O-U type processes-中国期刊网

摘要 Modelinglog-mortalityratesonO-UtypeprocessesandforecastinglifeexpectanciesareexploredusingU.S.data.IntheclassicLee-Cartermodelofmortality,thetimetrendandtheage-specificpatternofmortalityoveragegrouparelinear,thisisnotthefeatureofmortalitmodel.Toavoidthisdisadvantage,O-Utypeprocesseswillbeusedtomodelthelog-mortalityinthispaper.Infact,thismodelisanAR(1)process,butwithanonlineartimedriftterm.BasedonthemortalitydataofAmericafromHumanMortalitydatabase(HMD),mortalityprojectionconsistentlyindicatesapreferenceformortalitywithO-UtypeprocessesoverthosewiththeclassicalLee-Cartermodel.Bymeansofthismodel,thelowboundsofmortalityratesateveryagearegiven.Therefore,lengtheningofmaximumlifeexpectanciesspanisestimatedinthispaper.

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Modeling stochastic mortality with O-U type processes

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Modeling stochastic mortality with O-U type processes

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