Recent literature on mortality modeling suggests to include in the dynamics of mortality rates the effects of time, age, the interaction of these two and a term for possible shocks. In this paper we investigate models that use Legendre polynomials for the inclusion of age and cohort effects. In order to capture the dynamics of the shock term it is suggested to consider continuous autoregressive moving average (CARMA) models due to their flexibility in reproducing different autoregressive profiles of the shock term. In order to validate the proposed model, different life tables are considered. In particular the male life tables for New Zealand, Taiwan and Japan are used for the presentation of in-sample fitting. Empirical analysis suggests that the inclusion of more flexible models such as higher-order CARMA(p,q) models leads to better in-sample fitting.

Lévy CARMA models for shocks in mortality / A. Hitaj, L. Mercuri, E. Rroji. - In: DECISIONS IN ECONOMICS AND FINANCE. - ISSN 1593-8883. - 42:1(2019 Jun), pp. 205-227. [10.1007/s10203-019-00248-9]

Lévy CARMA models for shocks in mortality

L. Mercuri
Secondo
;
2019

Abstract

Recent literature on mortality modeling suggests to include in the dynamics of mortality rates the effects of time, age, the interaction of these two and a term for possible shocks. In this paper we investigate models that use Legendre polynomials for the inclusion of age and cohort effects. In order to capture the dynamics of the shock term it is suggested to consider continuous autoregressive moving average (CARMA) models due to their flexibility in reproducing different autoregressive profiles of the shock term. In order to validate the proposed model, different life tables are considered. In particular the male life tables for New Zealand, Taiwan and Japan are used for the presentation of in-sample fitting. Empirical analysis suggests that the inclusion of more flexible models such as higher-order CARMA(p,q) models leads to better in-sample fitting.
CARMA(p; Force of mortality; Lévy process; q) model
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Article (author)
File in questo prodotto:
File Dimensione Formato  
Hitaj2019_Article_LévyCARMAModelsForShocksInMort.pdf

accesso riservato

Tipologia: Publisher's version/PDF
Dimensione 1.14 MB
Formato Adobe PDF
1.14 MB Adobe PDF   Visualizza/Apri   Richiedi una copia
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/881456
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 2
  • ???jsp.display-item.citation.isi??? 2
social impact