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Comparison of Stochastic Mortality Model for Wider Age Range.

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Title: Comparison of Stochastic Mortality Model for Wider Age Range.
Authors: Siti Rohani Mohd Nor1, Fadhilah Yusof1 fadhilahy@utm.my, Arifah Bahar1
Source: Matematika. Dec2018, Vol. 34, p227-233. 7p.
Subject Terms: *Mortality -- Mathematical models, *Stochastic processes, *Nonlinear analysis
Abstract: The incorporation of non-linear pattern of early ages has led to new research directions on improving the existing stochastic mortalitymodel structure. Several authors have outlined the importance of encompassing the full age range in dealing with longevity risk exposure, by not ignoring the dependence between young and old ages. In this study, we consider the two extensions of the Cairns, Blake and Dowd model that incorporate the irregularity profile seen at the mortality of lower ages, which are the Plat, and the O'Hare and Li models respectively. The models' performances in terms of in-sample fitting and out-sample forecasts were examined and compared. The results indicated that the O'Hare and Li model performs better as compared to the Plat model. [ABSTRACT FROM AUTHOR]
Database: Academic Search Index
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  Data: Comparison of Stochastic Mortality Model for Wider Age Range.
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  Data: <searchLink fieldCode="AR" term="%22Siti+Rohani+Mohd+Nor%22">Siti Rohani Mohd Nor</searchLink><relatesTo>1</relatesTo><br /><searchLink fieldCode="AR" term="%22Fadhilah+Yusof%22">Fadhilah Yusof</searchLink><relatesTo>1</relatesTo><i> fadhilahy@utm.my</i><br /><searchLink fieldCode="AR" term="%22Arifah+Bahar%22">Arifah Bahar</searchLink><relatesTo>1</relatesTo>
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  Data: <searchLink fieldCode="JN" term="%22Matematika%22">Matematika</searchLink>. Dec2018, Vol. 34, p227-233. 7p.
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  Data: *<searchLink fieldCode="DE" term="%22Mortality+--+Mathematical+models%22">Mortality -- Mathematical models</searchLink><br />*<searchLink fieldCode="DE" term="%22Stochastic+processes%22">Stochastic processes</searchLink><br />*<searchLink fieldCode="DE" term="%22Nonlinear+analysis%22">Nonlinear analysis</searchLink>
– Name: Abstract
  Label: Abstract
  Group: Ab
  Data: The incorporation of non-linear pattern of early ages has led to new research directions on improving the existing stochastic mortalitymodel structure. Several authors have outlined the importance of encompassing the full age range in dealing with longevity risk exposure, by not ignoring the dependence between young and old ages. In this study, we consider the two extensions of the Cairns, Blake and Dowd model that incorporate the irregularity profile seen at the mortality of lower ages, which are the Plat, and the O'Hare and Li models respectively. The models' performances in terms of in-sample fitting and out-sample forecasts were examined and compared. The results indicated that the O'Hare and Li model performs better as compared to the Plat model. [ABSTRACT FROM AUTHOR]
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RecordInfo BibRecord:
  BibEntity:
    Identifiers:
      – Type: doi
        Value: 10.11113/matematika.v34.n2.1014
    Languages:
      – Code: eng
        Text: English
    PhysicalDescription:
      Pagination:
        PageCount: 7
        StartPage: 227
    Subjects:
      – SubjectFull: Mortality -- Mathematical models
        Type: general
      – SubjectFull: Stochastic processes
        Type: general
      – SubjectFull: Nonlinear analysis
        Type: general
    Titles:
      – TitleFull: Comparison of Stochastic Mortality Model for Wider Age Range.
        Type: main
  BibRelationships:
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      – PersonEntity:
          Name:
            NameFull: Siti Rohani Mohd Nor
      – PersonEntity:
          Name:
            NameFull: Fadhilah Yusof
      – PersonEntity:
          Name:
            NameFull: Arifah Bahar
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      – BibEntity:
          Dates:
            – D: 01
              M: 12
              Text: Dec2018
              Type: published
              Y: 2018
          Identifiers:
            – Type: issn-print
              Value: 01278274
          Numbering:
            – Type: volume
              Value: 34
          Titles:
            – TitleFull: Matematika
              Type: main
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