FORECASTING MORTALITY RATES WITH A GENERAL STOCHASTIC MORTALITY TREND MODEL

Date

2020-01-01

Author

Hasgül, Etkin
Kestel, A. Sevtap
Yolcu Okur, Yeliz

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

358
views

0
downloads

This paper presents a model, which can closely predict the future mortality rates whose efficiency is performed through the comparisons with respect to Lee-Carter and mortality trend models. This general model estimates the logit function of death rate in terms of general tendency of the mortality evolution independent of age, the mortality steepness, additional effects of childhood, youth and old age. Generalized linear model (GLM) is used to estimate the parameters. Moreover, the weighted least square (WLS) and random walk with drift (RWWD) methods are employed to project the future values of the parameters. In order to ensure the stability of the outputs and construct the confidence intervals, Monte Carlo simulation is used. The impact of the proposed model is implemented on USA, France, Italy, Japan and Israel mortality rates for both genders based on their ageing structure. A detailed comparison study is performed to illustrate modifi ed mortality rates on the net single premiums over mortality trend model and Lee-Carter model.

Subject Keywords

Mortality trend model, Lee-Carter, GLM, Simulation, Random walk, Weighted least squares

URI

https://hdl.handle.net/11511/51803

Journal

COMMUNICATIONS FACULTY OF SCIENCES UNIVERSITY OF ANKARA-SERIES A1 MATHEMATICS AND STATISTICS

DOI

https://doi.org/10.31801/cfsuasmas.478265

Collections

Disaster Management Center (AFET), Article

Suggestions

OpenMETU
Core

Assessment of longevity risk: credibility approach Kestel, Ayşe Sevtap; Yıldırım Külekci, Bükre (2021-05-01) To correctly measure the effect of mortality rates on the stability of insurance and pension provider's financial risk, longevity risk should be considered. This paper aims to investigate the future mortality and longevity risk with different age structures for different countries. Lee–Carter mortality model is used on the historical census data to forecast future mortality rates. Turkey, Germany, and Japan are chosen concerning their expected life and population distributions. Then, the longevity risk on a...
Real Exchange Rates and Growth: Contractionary Depreciations or Appreciations? Özmen, Erdal; YOLCU KARADAM, DUYGU (2021-01-01) This study investigates the impact of real exchange rates (RER) on growth of a large number of advanced (AE) and developing economies (DE) estimating conventional growth models augmented with global financial conditions variables. First of all, replicating Rodrik (2008) and following studies employing panel autoregressive distributed lag (PARDL) and PARDL mean group (PARDL-MG) models, we show that the expansionary depreciation findings for DE are often based on a misinterpretation of an error correction mec...
Estimation of earthquake insurance premium rates based stochastic methods Deniz, Aykut; Yücemen, Mehmet Semih; Department of Civil Engineering (2006) In this thesis, stochastic methods are utilized to improve a familiar comprehensive probabilistic model to obtain realistic estimates of the earthquake insurance premium rates in different seismic zones of Turkey. The model integrates the information on future earthquake threat with the information on expected earthquake damage to buildings. The quantification of the future earthquake threat is achieved by making use of the seismic hazard analysis techniques. Due to the uncertainties involved, the hazard th...
Stochastic surplus processes with VaR AND CVaR simulations in actuarial applications Şimşek, Meral; Uğur, Ömür; Kestel, Sevtap Ayşe; Department of Actuarial Sciences (2016) The theory of ruin is a substantial study for those who are interested in ﬁnancial survival probability based on the patterns imposed by the surplus process, which determines the insurer’s capital balance at a given time. In other words, ﬂuctuations in aggregate claims as well as premiums in such processes can be secured by a certain capital. In this study, we simulate various surplus processes under different claim sizedistribution assumptions and extend the analyses by adding perturbation of a Brownian mo...
Nonlinear models, composite longer leading indicator and forecasts for UK real GDP Ocal, N (Informa UK Limited, 2006-05-20) This paper examines the role of the Office for National Statistics Composite Longer Leading Indicator, in nonlinear business cycle models for growth rates of UK real gross domestic product (GDP). These models are of the smooth transition regression class, with the transition between "regimes'' expressed as functions of lagged changes in the leading indicator. In general, evidence is found of business cycle regime asymmetries, with increases and decreases in the leading indicator implying distinct responses ...

Citation Formats

E. Hasgül, A. S. Kestel, and Y. Yolcu Okur, “FORECASTING MORTALITY RATES WITH A GENERAL STOCHASTIC MORTALITY TREND MODEL,” COMMUNICATIONS FACULTY OF SCIENCES UNIVERSITY OF ANKARA-SERIES A1 MATHEMATICS AND STATISTICS, pp. 910–928, 2020, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/51803.