Debón Aucejo, AM.; Martinez Ruiz, F.; Montes, F. (2010). A geostatistical approach for dynamic life tables: The effect of mortality on remaining lifetime and annuities. Insurance: Mathematics and Economics. 47(3):327-336. doi:10.1016/j.insmatheco.2010.07.007
Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/60381
Title:
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A geostatistical approach for dynamic life tables: The effect of mortality on remaining lifetime and annuities
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Author:
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Debón Aucejo, Ana María
Martinez Ruiz, F.
Montes, F.
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UPV Unit:
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Universitat Politècnica de València. Departamento de Estadística e Investigación Operativa Aplicadas y Calidad - Departament d'Estadística i Investigació Operativa Aplicades i Qualitat
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Issued date:
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Abstract:
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Dynamic life tables arise as an alternative to the standard (static) life table, with the aim of incorporating
the evolution of mortality over time. The parametric model introduced by Lee and Carter in 1992 for
projected ...[+]
Dynamic life tables arise as an alternative to the standard (static) life table, with the aim of incorporating
the evolution of mortality over time. The parametric model introduced by Lee and Carter in 1992 for
projected mortality rates in the US is one of the most outstanding and has been used a great deal since
then. Different versions of the model have been developed but all of them, together with other parametric
models, consider the observed mortality rates as independent observations. This is a difficult hypothesis
to justify when looking at the graph of the residuals obtained with any of these methods.
Methods of adjustment and prediction based on geostatistical techniques which exploit the dependence
structure existing among the residuals are an alternative to classical methods. Dynamic life tables
can be considered as two-way tables on a grid equally spaced in either the vertical (age) or horizontal
(year) direction, and the data can be decomposed into a deterministic large-scale variation (trend) plus a
stochastic small-scale variation (residuals).
Our contribution consists of applying geostatistical techniques for estimating the dependence
structure of the mortality data and for prediction purposes, also including the influence of the year of birth
(cohort). We compare the performance of this new approach with different versions of the Lee–Carter
model. Additionally, we obtain bootstrap confidence intervals for predicted qxt resulting from applying
both methodologies, and we study their influence on the predictions of e65t and a65t
.
© 2010 Elsevier B.V. All rights reserved.
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Subjects:
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Life table
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Geostatistics
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Bootstrap confidence intervals
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Copyrigths:
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Reserva de todos los derechos
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Source:
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Insurance: Mathematics and Economics. (issn:
0167-6687
)
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DOI:
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10.1016/j.insmatheco.2010.07.007
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Publisher:
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Elsevier
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Publisher version:
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http://dx.doi.org/10.1016/j.insmatheco.2010.07.007
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Project ID:
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Generalitat Valenciana (grant No. GVPRE/2008/103)
MEyC Ministerio de Educación y Ciencia, Spain: project MTM2007- 62923 and project MTM2008-05152
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Thanks:
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This work was partially supported by grants from the MEyC (Ministerio de Educacin y Ciencia, Spain project MTM2007-62923 and project MTM2008-05152) The research by Ana Debon and Francisco Martinez-Ruiz has also been partially ...[+]
This work was partially supported by grants from the MEyC (Ministerio de Educacin y Ciencia, Spain project MTM2007-62923 and project MTM2008-05152) The research by Ana Debon and Francisco Martinez-Ruiz has also been partially supported by a grant from the Generalitat Valenciana (grant No GVPRE/2008/103)
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Type:
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Artículo
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