Testing for a unit root in Lee-Carter mortality model

DOI10.1017/ASB.2017.24MaRDI QIDQ4563809zbMATH OpenOpenAlexFDO

Authors Xuan Leng, Liang Peng

Publication date 4 June 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2017.24

zbMATH Keywords

Lee-Carter modelunit rootAR process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

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• Inference pitfalls in Lee-Carter model for forecasting mortality
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• On the structural change of the Lee-Carter model and its actuarial application

Cites work

• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Detecting common longevity trends by a multiple population approach
• Downside risk management of a defined benefit plan considering longevity basis risk
• Inference pitfalls in Lee-Carter model for forecasting mortality
• Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
• Modeling and management of mortality risk: a review
• Modeling the forward surface of mortality
• Mortality, longevity and experiments with the Lee-Carter model
• Multiple Time Series Regression with Integrated Processes
• Pricing and securitization of multi-country longevity risk with mortality dependence
• Robust regularized singular value decomposition with application to mortality data
• Smoothing and forecasting mortality rates
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• Towards a unified asymptotic theory for autoregression
• Unit roots: a selective review of the contributions of Peter C. B. Phillips

Cited in

(3)

• Bias-corrected inference for a modified Lee-Carter mortality model
• Statistical inference for Lee-Carter mortality model and corresponding forecasts
• Inference for the Lee-Carter model with an AR(2) process

Describes a project that uses

Uses Software

• R

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