Predicting Human Mortality: Quantitative Evaluation of Four Stochastic Models

Predicting Human Mortality: Quantitative Evaluation of Four Stochastic Models

In this paper, we quantitatively compare the forecasts from four different mortality models. We consider one discrete-time model proposed by Lee and Carter (1992) and three continuous-time models: the Wills and Sherris (2011) model, the Feller process and the Ornstein-Uhlenbeck (OU) process. The fir...

Full description

Bibliographic Details
Main Author: Anastasia Novokreshchenova
Format: Article
Language:English
Published: MDPI AG 2016-12-01
Series:Risks
Subjects:
stochastic mortality
affine processes
survival probability modelling
mortality probability calibration
Online Access:http://www.mdpi.com/2227-9091/4/4/45

Internet

http://www.mdpi.com/2227-9091/4/4/45

Similar Items