Bibliographic Details
| 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 |