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Applied Mathematics-A Journal of Chinese Universities  2018, Vol. 33 Issue (1): 48-58    DOI: 10.1007/s11766-018-3349-7
    
Modeling stochastic mortality with O-U type processes
ZHENG Jing, TONG Chang-qing, ZHANG Gui-jun
College of Economics, Hangzhou Dianzi University, Hangzhou 310018, China
Modeling stochastic mortality with O-U type processes
ZHENG Jing, TONG Chang-qing, ZHANG Gui-jun
College of Economics, Hangzhou Dianzi University, Hangzhou 310018, China
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摘要： Modeling log-mortality rates on O-U type processes and forecasting life expectancies are explored using U.S. data. In the classic Lee-Carter model of mortality, the time trend and the age-specific pattern of mortality over age group are linear, this is not the feature of mortality model. To avoid this disadvantage, O-U type processes will be used to model the log-mortality in this paper. In fact, this model is an AR(1) process, but with a nonlinear time drift term. Based on the mortality data of America from Human Mortality database (HMD), mortality projection consistently indicates a preference for mortality with O-U type processes over those with the classical Lee-Carter model. By means of this model, the low bounds of mortality rates at every age are given. Therefore, lengthening of maximum life expectancies span is estimated in this paper.
关键词： mortality;  stochastic forecasting;  O-U type process    
Abstract: Modeling log-mortality rates on O-U type processes and forecasting life expectancies are explored using U.S. data. In the classic Lee-Carter model of mortality, the time trend and the age-specific pattern of mortality over age group are linear, this is not the feature of mortality model. To avoid this disadvantage, O-U type processes will be used to model the log-mortality in this paper. In fact, this model is an AR(1) process, but with a nonlinear time drift term. Based on the mortality data of America from Human Mortality database (HMD), mortality projection consistently indicates a preference for mortality with O-U type processes over those with the classical Lee-Carter model. By means of this model, the low bounds of mortality rates at every age are given. Therefore, lengthening of maximum life expectancies span is estimated in this paper.
Key words: mortality    stochastic forecasting    O-U type process
收稿日期: 2015-01-21 出版日期: 2018-03-28
CLC:  62F12  
基金资助: Supported by National Social Science Fund of China (17BTJ023)
通讯作者: TONG Chang-qing     E-mail: tongchangqing@hdu.edu.cn
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引用本文:

ZHENG Jing, TONG Chang-qing, ZHANG Gui-jun. Modeling stochastic mortality with O-U type processes[J]. Applied Mathematics-A Journal of Chinese Universities, 2018, 33(1): 48-58.

ZHENG Jing, TONG Chang-qing, ZHANG Gui-jun. Modeling stochastic mortality with O-U type processes. Applied Mathematics-A Journal of Chinese Universities, 2018, 33(1): 48-58.

链接本文:

http://www.zjujournals.com/amjcub/CN/10.1007/s11766-018-3349-7    或    http://www.zjujournals.com/amjcub/CN/Y2018/V33/I1/48

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