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Conference Paper: Mortality Projection using Bayesian Model Averaging

TitleMortality Projection using Bayesian Model Averaging
Authors
KeywordsBayesian model averaging
Cairns-Blake-Dowd model
Lee-Carter model
Longevity
Model uncertainty
Mortality projection
Renshaw-Haberman model
Issue Date2018
PublisherSpringer.
Citation
The 8th International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2018), Madrid, Spain, 4-6 April 2018. In Corazza, M, Durbán, M, Grané, A et al. (Eds.). Mathematical and Statistical Methods for Actuarial Sciences and Finance, p. 111-115. Cham: Springer, 2018 How to Cite?
AbstractIn this paper we propose Bayesian specifications of four of the most widespread models used for mortality projection: Lee-Carter, Renshaw-Haberman, Cairns-Blake-Dowd, and its extension including cohort effects. We introduce the Bayesian model averaging in mortality projection in order to obtain an assembled model considering model uncertainty. We work with Spanish mortality data from the Human Mortality Database, and results suggest that applying this technique yields projections with better properties than those obtained with the individual models considered separately.
Persistent Identifierhttp://hdl.handle.net/10722/259841
ISBN

 

DC FieldValueLanguage
dc.contributor.authorBenchimol, AG-
dc.contributor.authorDiazaraque, JMM-
dc.contributor.authorLozano, IA-
dc.contributor.authorAlonso-González, PJ-
dc.date.accessioned2018-09-03T04:14:53Z-
dc.date.available2018-09-03T04:14:53Z-
dc.date.issued2018-
dc.identifier.citationThe 8th International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2018), Madrid, Spain, 4-6 April 2018. In Corazza, M, Durbán, M, Grané, A et al. (Eds.). Mathematical and Statistical Methods for Actuarial Sciences and Finance, p. 111-115. Cham: Springer, 2018-
dc.identifier.isbn978-3-319-89823-0-
dc.identifier.urihttp://hdl.handle.net/10722/259841-
dc.description.abstractIn this paper we propose Bayesian specifications of four of the most widespread models used for mortality projection: Lee-Carter, Renshaw-Haberman, Cairns-Blake-Dowd, and its extension including cohort effects. We introduce the Bayesian model averaging in mortality projection in order to obtain an assembled model considering model uncertainty. We work with Spanish mortality data from the Human Mortality Database, and results suggest that applying this technique yields projections with better properties than those obtained with the individual models considered separately.-
dc.languageeng-
dc.publisherSpringer.-
dc.relation.ispartofMathematical and Statistical Methods for Actuarial Sciences and Finance-
dc.rightsThe final publication is available at Springer via http://dx.doi.org/10.1007/978-3-319-89824-7_20-
dc.subjectBayesian model averaging-
dc.subjectCairns-Blake-Dowd model-
dc.subjectLee-Carter model-
dc.subjectLongevity-
dc.subjectModel uncertainty-
dc.subjectMortality projection-
dc.subjectRenshaw-Haberman model-
dc.titleMortality Projection using Bayesian Model Averaging-
dc.typeConference_Paper-
dc.identifier.emailBenchimol, AG: benchi@hku.hk-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/978-3-319-89824-7_20-
dc.identifier.hkuros289546-
dc.identifier.spage111-
dc.identifier.epage115-
dc.publisher.placeCham-

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