A proposition of generalized stochastic Milevsky-Promislov mortality models.

Bibliographic Details
Title:	A proposition of generalized stochastic Milevsky-Promislov mortality models.
Authors:	S̀liwka, Piotr¹ p.sliwka@uksw.edu.pl, Socha, Lesław¹
Source:	Scandinavian Actuarial Journal. Oct2018, Vol. 2018 Issue 8, p706-726. 21p.
Subject Terms:	Mortality -- Mathematical models, Stochastic models, *Distribution (Probability theory), Gaussian processes, Mortality
Geographic Terms:	Poland
Abstract:	The aim of this article is to propose a new approach to the estimation of the mortality rates based on two extended Milevsky and Promislov models: the first one with colored excitations modeled by Gaussian linear filters and the second one with excitations modeled by a continuous non-Gaussian process. The exact analytical formulas for theoretical mortality rates based on Gaussian linear scalar filter models have been derived. The theoretical values obtained in both cases were compared with theoretical mortality rates based on a classical Lee-Carter model, and verified on the basis of empirical Polish mortality data. The obtained results confirm the usefulness of the switched model based on the continuous non-Gaussian process for modeling mortality rates. [ABSTRACT FROM AUTHOR]
	Copyright of Scandinavian Actuarial Journal 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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Header	DbId: bsx DbLabel: Business Source Index An: 131879954 RelevancyScore: 1199 AccessLevel: 6 PubType: Academic Journal PubTypeId: academicJournal PreciseRelevancyScore: 1199.01574707031
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Items	– Name: Title Label: Title Group: Ti Data: A proposition of generalized stochastic Milevsky-Promislov mortality models. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22S̀liwka%2C+Piotr%22">S̀liwka, Piotr</searchLink><relatesTo>1</relatesTo><i> p.sliwka@uksw.edu.pl</i><br /><searchLink fieldCode="AR" term="%22Socha%2C+Lesław%22">Socha, Lesław</searchLink><relatesTo>1</relatesTo> – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22Scandinavian+Actuarial+Journal%22">Scandinavian Actuarial Journal</searchLink>. Oct2018, Vol. 2018 Issue 8, p706-726. 21p. – Name: Subject Label: Subject Terms Group: Su Data: <searchLink fieldCode="DE" term="%22Mortality+--+Mathematical+models%22">Mortality -- Mathematical models</searchLink><br /><searchLink fieldCode="DE" term="%22Stochastic+models%22">Stochastic models</searchLink><br />*<searchLink fieldCode="DE" term="%22Distribution+%28Probability+theory%29%22">Distribution (Probability theory)</searchLink><br /><searchLink fieldCode="DE" term="%22Gaussian+processes%22">Gaussian processes</searchLink><br /><searchLink fieldCode="DE" term="%22Mortality%22">Mortality</searchLink> – Name: SubjectGeographic Label: Geographic Terms Group: Su Data: <searchLink fieldCode="DE" term="%22Poland%22">Poland</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: The aim of this article is to propose a new approach to the estimation of the mortality rates based on two extended Milevsky and Promislov models: the first one with colored excitations modeled by Gaussian linear filters and the second one with excitations modeled by a continuous non-Gaussian process. The exact analytical formulas for theoretical mortality rates based on Gaussian linear scalar filter models have been derived. The theoretical values obtained in both cases were compared with theoretical mortality rates based on a classical Lee-Carter model, and verified on the basis of empirical Polish mortality data. The obtained results confirm the usefulness of the switched model based on the continuous non-Gaussian process for modeling mortality rates. [ABSTRACT FROM AUTHOR] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of Scandinavian Actuarial Journal 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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RecordInfo	BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.1080/03461238.2018.1431805 Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 21 StartPage: 706 Subjects: – SubjectFull: Mortality -- Mathematical models Type: general – SubjectFull: Stochastic models Type: general – SubjectFull: Distribution (Probability theory) Type: general – SubjectFull: Gaussian processes Type: general – SubjectFull: Mortality Type: general – SubjectFull: Poland Type: general Titles: – TitleFull: A proposition of generalized stochastic Milevsky-Promislov mortality models. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: S̀liwka, Piotr – PersonEntity: Name: NameFull: Socha, Lesław IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 10 Text: Oct2018 Type: published Y: 2018 Identifiers: – Type: issn-print Value: 03461238 Numbering: – Type: volume Value: 2018 – Type: issue Value: 8 Titles: – TitleFull: Scandinavian Actuarial Journal Type: main
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