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Models of mortality rates – analysing the residuals.

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Τίτλος: Models of mortality rates – analysing the residuals.
Συγγραφείς: O'hare, Colin1 (AUTHOR) colin.ohare@monash.edu, Li, Youwei2 (AUTHOR)
Πηγή: Applied Economics. Nov2017, Vol. 49 Issue 52, p5309-5323. 15p.
Θεματικοί όροι: *Mortality -- Mathematical models, *Time series analysis, *Mathematical models of forecasting, Longevity, Old age
Περίληψη: The area of mortality modelling has received significant attention over the last 25 years owing to the need to quantify and forecast improving mortality rates. This need is driven primarily by the concern of governments, insurance and actuarial professionals and individuals to be able to fund their old age. In particular, to quantify the costs of increasing longevity we need suitable model of mortality rates that capture the dynamics of the data and forecast them with sufficient accuracy to make them useful. In this article, we test several of the leading time series models by considering the fitting quality and in particular, testing the residuals of those models for normality properties. In a wide ranging study considering 30 countries we find that almost exclusively the residuals do not demonstrate normality. Further, in Hurst tests of the residuals we find evidence that structure remains that is not captured by the models. [ABSTRACT FROM PUBLISHER]
Copyright of Applied Economics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
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  Data: Models of mortality rates – analysing the residuals.
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  Data: The area of mortality modelling has received significant attention over the last 25 years owing to the need to quantify and forecast improving mortality rates. This need is driven primarily by the concern of governments, insurance and actuarial professionals and individuals to be able to fund their old age. In particular, to quantify the costs of increasing longevity we need suitable model of mortality rates that capture the dynamics of the data and forecast them with sufficient accuracy to make them useful. In this article, we test several of the leading time series models by considering the fitting quality and in particular, testing the residuals of those models for normality properties. In a wide ranging study considering 30 countries we find that almost exclusively the residuals do not demonstrate normality. Further, in Hurst tests of the residuals we find evidence that structure remains that is not captured by the models. [ABSTRACT FROM PUBLISHER]
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  Data: <i>Copyright of Applied Economics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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      – Type: doi
        Value: 10.1080/00036846.2017.1305092
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      – Code: eng
        Text: English
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        PageCount: 15
        StartPage: 5309
    Subjects:
      – SubjectFull: Mortality -- Mathematical models
        Type: general
      – SubjectFull: Time series analysis
        Type: general
      – SubjectFull: Mathematical models of forecasting
        Type: general
      – SubjectFull: Longevity
        Type: general
      – SubjectFull: Old age
        Type: general
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      – TitleFull: Models of mortality rates – analysing the residuals.
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              Text: Nov2017
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              Y: 2017
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