Assessing Actuarial Projections Accuracy: Traditional vs. Experimental Strategy

• 作者: Maria Russolillo
• 来源期刊: 统计学期刊(英文)
• 学科: 医学
• 关键词: Lee-Carter Model SINGULAR Value Decomposition EXPERIMENTAL STRATEGY Mortality Projections Life EXPECTANCY at BIRTH
• 年，卷（期）: 2017,（4）
• 页码范围: 608-620
• 页数: 13页
• 分类号: R73

摘要

This paper gives an overview of the Lee Carter method and reiterates the feasibility of using it to construct mortality forecast for the population data. In a first step, the model is fitted in a traditional way and used to extrapolate forecast of the time-varying mortality index. The observed pattern of the mortality rates shows a different variability at different ages, highlighting that the homoscedasticity hypothesis is quite unrealistic. Thus, in a second step, the paper aims to produce more reliable mortality forecasting, focusing on the errors in the estimation of the model parameters. The robustness of the estimated parameter is analysed throughout an experimental strategy which allows to assess the robustness of the Lee Carter model by inducing the errors to satisfy the homoscedasticity hypothesis. The graphical and numerical results are tested by means of a comparison in terms of prediction accuracy.