Comparison of Lee Carter model and Cairns, Blake and Dowd model in forecasting Malaysian higher age mortality
Demographers and actuaries are very much conscious of the trend of mortality in their own country or in the world in general. This is because mortality is the basis for longevity risk evaluation. Mortality is showing a declining trend and it is expected to further decline in the future. This will le...
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| Format: | Article |
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Penerbit UTM Press
2019
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| _version_ | 1796864828366651392 |
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| author | Zulkifle, Haneef Yusof, Fadhilah Mohd. Nor, Siti Rohani |
| author_facet | Zulkifle, Haneef Yusof, Fadhilah Mohd. Nor, Siti Rohani |
| author_sort | Zulkifle, Haneef |
| collection | ePrints |
| description | Demographers and actuaries are very much conscious of the trend of mortality in their own country or in the world in general. This is because mortality is the basis for longevity risk evaluation. Mortality is showing a declining trend and it is expected to further decline in the future. This will lead to continuous increase in life expectancy. Several stochastic models have been developed throughout the years to capture mortality and its variability. This includes Lee Carter (LC) model which has been extended by various researchers. This paper will be focusing on comparing LC model and another mortality model proposed by Cairns, Blake and Dowd (CBD). The LC uses the log of central rate of mortality and CBD uses logit of the mortality odds as dependent variable. Analysis of comparison is done using a few techniques including Akaike information criteria (AIC) and Bayesian information criterion (BIC). From the overall results, there is no model better than the other in every aspect tested. We illustrate this via visual inspection and in sample and out of sample analysis using Malaysian mortality data from 1980 to 2017. |
| first_indexed | 2024-03-05T20:47:40Z |
| format | Article |
| id | utm.eprints-89428 |
| institution | Universiti Teknologi Malaysia - ePrints |
| last_indexed | 2024-03-05T20:47:40Z |
| publishDate | 2019 |
| publisher | Penerbit UTM Press |
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| spelling | utm.eprints-894282021-02-22T01:47:30Z http://eprints.utm.my/89428/ Comparison of Lee Carter model and Cairns, Blake and Dowd model in forecasting Malaysian higher age mortality Zulkifle, Haneef Yusof, Fadhilah Mohd. Nor, Siti Rohani QA Mathematics Demographers and actuaries are very much conscious of the trend of mortality in their own country or in the world in general. This is because mortality is the basis for longevity risk evaluation. Mortality is showing a declining trend and it is expected to further decline in the future. This will lead to continuous increase in life expectancy. Several stochastic models have been developed throughout the years to capture mortality and its variability. This includes Lee Carter (LC) model which has been extended by various researchers. This paper will be focusing on comparing LC model and another mortality model proposed by Cairns, Blake and Dowd (CBD). The LC uses the log of central rate of mortality and CBD uses logit of the mortality odds as dependent variable. Analysis of comparison is done using a few techniques including Akaike information criteria (AIC) and Bayesian information criterion (BIC). From the overall results, there is no model better than the other in every aspect tested. We illustrate this via visual inspection and in sample and out of sample analysis using Malaysian mortality data from 1980 to 2017. Penerbit UTM Press 2019-12 Article PeerReviewed Zulkifle, Haneef and Yusof, Fadhilah and Mohd. Nor, Siti Rohani (2019) Comparison of Lee Carter model and Cairns, Blake and Dowd model in forecasting Malaysian higher age mortality. Matematika, 35 . pp. 65-77. ISSN 0127-9602 http://dx.doi.org/10.11113/matematika.v35.n4.1264 |
| spellingShingle | QA Mathematics Zulkifle, Haneef Yusof, Fadhilah Mohd. Nor, Siti Rohani Comparison of Lee Carter model and Cairns, Blake and Dowd model in forecasting Malaysian higher age mortality |
| title | Comparison of Lee Carter model and Cairns, Blake and Dowd model in forecasting Malaysian higher age mortality |
| title_full | Comparison of Lee Carter model and Cairns, Blake and Dowd model in forecasting Malaysian higher age mortality |
| title_fullStr | Comparison of Lee Carter model and Cairns, Blake and Dowd model in forecasting Malaysian higher age mortality |
| title_full_unstemmed | Comparison of Lee Carter model and Cairns, Blake and Dowd model in forecasting Malaysian higher age mortality |
| title_short | Comparison of Lee Carter model and Cairns, Blake and Dowd model in forecasting Malaysian higher age mortality |
| title_sort | comparison of lee carter model and cairns blake and dowd model in forecasting malaysian higher age mortality |
| topic | QA Mathematics |
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