Estimating the term structure of mortality: an application to actuarial studies
Insurance companies and pension funds which deal with human lifetime are interested in mortality forecasting to minimize the longevity risk. In this paper, we studied the mortality forecasting model based on the age-specific death rates by the usage of the state-space framework and Kalman filtering...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Allameh Tabataba'i University Press
2021-12-01
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| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_13837_1a974cbaae6568c6dd1c27ac023f416a.pdf |
| _version_ | 1797386703533506560 |
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| author | Marzieh Vahdani Ali Safdari |
| author_facet | Marzieh Vahdani Ali Safdari |
| author_sort | Marzieh Vahdani |
| collection | DOAJ |
| description | Insurance companies and pension funds which deal with human lifetime are interested in mortality forecasting to minimize the longevity risk. In this paper, we studied the mortality forecasting model based on the age-specific death rates by the usage of the state-space framework and Kalman filtering technique. To capture the volatility of time, the time varying trend has been added to the Lee-Carter (LC) model, which is the benchmark methodology in modeling and forecasting mortality since it was introduced in 1992. So, this model is a random walk with time varying drift (TV). We illustrated the performance of the proposed model using Iranian mortality data over the period 1950–2015. Numerical results show that, both models have good fitness and are tangent. So the TV model acts as well as the LC model, but the TV model has the advantages of fewer calculations and the time-varying drift which can be beneficial in time varying data sets. |
| first_indexed | 2024-03-08T22:14:07Z |
| format | Article |
| id | doaj.art-556738afec694fcfbb06bbf4674597f3 |
| institution | Directory Open Access Journal |
| issn | 2783-0578 2783-056X |
| language | English |
| last_indexed | 2024-03-08T22:14:07Z |
| publishDate | 2021-12-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Mathematics and Modeling in Finance |
| spelling | doaj.art-556738afec694fcfbb06bbf4674597f32023-12-19T05:15:00ZengAllameh Tabataba'i University PressMathematics and Modeling in Finance2783-05782783-056X2021-12-0112152610.22054/jmmf.2021.1383713837Estimating the term structure of mortality: an application to actuarial studiesMarzieh Vahdani0Ali Safdari1Eco college of Insurance, Allameh Tabataba’i University, Tehran, IranDepartment of the mathematics, Allameh Tabataba’i University, Tehran, IranInsurance companies and pension funds which deal with human lifetime are interested in mortality forecasting to minimize the longevity risk. In this paper, we studied the mortality forecasting model based on the age-specific death rates by the usage of the state-space framework and Kalman filtering technique. To capture the volatility of time, the time varying trend has been added to the Lee-Carter (LC) model, which is the benchmark methodology in modeling and forecasting mortality since it was introduced in 1992. So, this model is a random walk with time varying drift (TV). We illustrated the performance of the proposed model using Iranian mortality data over the period 1950–2015. Numerical results show that, both models have good fitness and are tangent. So the TV model acts as well as the LC model, but the TV model has the advantages of fewer calculations and the time-varying drift which can be beneficial in time varying data sets.https://jmmf.atu.ac.ir/article_13837_1a974cbaae6568c6dd1c27ac023f416a.pdfmortality forecastinglee-carter approachstate-space modelingkalman recursions |
| spellingShingle | Marzieh Vahdani Ali Safdari Estimating the term structure of mortality: an application to actuarial studies Mathematics and Modeling in Finance mortality forecasting lee-carter approach state-space modeling kalman recursions |
| title | Estimating the term structure of mortality: an application to actuarial studies |
| title_full | Estimating the term structure of mortality: an application to actuarial studies |
| title_fullStr | Estimating the term structure of mortality: an application to actuarial studies |
| title_full_unstemmed | Estimating the term structure of mortality: an application to actuarial studies |
| title_short | Estimating the term structure of mortality: an application to actuarial studies |
| title_sort | estimating the term structure of mortality an application to actuarial studies |
| topic | mortality forecasting lee-carter approach state-space modeling kalman recursions |
| url | https://jmmf.atu.ac.ir/article_13837_1a974cbaae6568c6dd1c27ac023f416a.pdf |
| work_keys_str_mv | AT marziehvahdani estimatingthetermstructureofmortalityanapplicationtoactuarialstudies AT alisafdari estimatingthetermstructureofmortalityanapplicationtoactuarialstudies |