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- Publisher Website: 10.1007/978-3-319-89824-7_20
- Scopus: eid_2-s2.0-85104137619
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Conference Paper: Mortality Projection using Bayesian Model Averaging
Title | Mortality Projection using Bayesian Model Averaging |
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Authors | |
Keywords | Bayesian model averaging Cairns-Blake-Dowd model Lee-Carter model Longevity Model uncertainty Mortality projection Renshaw-Haberman model |
Issue Date | 2018 |
Publisher | Springer. |
Citation | The 8th International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2018), Madrid, Spain, 4-6 April 2018. In Corazza, M, Durbán, M, Grané, A et al. (Eds.). Mathematical and Statistical Methods for Actuarial Sciences and Finance, p. 111-115. Cham: Springer, 2018 How to Cite? |
Abstract | In this paper we propose Bayesian specifications of four of the most widespread models used for mortality projection: Lee-Carter, Renshaw-Haberman, Cairns-Blake-Dowd, and its extension including cohort effects. We introduce the Bayesian model averaging in mortality projection in order to obtain an assembled model considering model uncertainty. We work with Spanish mortality data from the Human Mortality Database, and results suggest that applying this technique yields projections with better properties than those obtained with the individual models considered separately. |
Persistent Identifier | http://hdl.handle.net/10722/259841 |
ISBN |
DC Field | Value | Language |
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dc.contributor.author | Benchimol, AG | - |
dc.contributor.author | Diazaraque, JMM | - |
dc.contributor.author | Lozano, IA | - |
dc.contributor.author | Alonso-González, PJ | - |
dc.date.accessioned | 2018-09-03T04:14:53Z | - |
dc.date.available | 2018-09-03T04:14:53Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | The 8th International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2018), Madrid, Spain, 4-6 April 2018. In Corazza, M, Durbán, M, Grané, A et al. (Eds.). Mathematical and Statistical Methods for Actuarial Sciences and Finance, p. 111-115. Cham: Springer, 2018 | - |
dc.identifier.isbn | 978-3-319-89823-0 | - |
dc.identifier.uri | http://hdl.handle.net/10722/259841 | - |
dc.description.abstract | In this paper we propose Bayesian specifications of four of the most widespread models used for mortality projection: Lee-Carter, Renshaw-Haberman, Cairns-Blake-Dowd, and its extension including cohort effects. We introduce the Bayesian model averaging in mortality projection in order to obtain an assembled model considering model uncertainty. We work with Spanish mortality data from the Human Mortality Database, and results suggest that applying this technique yields projections with better properties than those obtained with the individual models considered separately. | - |
dc.language | eng | - |
dc.publisher | Springer. | - |
dc.relation.ispartof | Mathematical and Statistical Methods for Actuarial Sciences and Finance | - |
dc.rights | The final publication is available at Springer via http://dx.doi.org/10.1007/978-3-319-89824-7_20 | - |
dc.subject | Bayesian model averaging | - |
dc.subject | Cairns-Blake-Dowd model | - |
dc.subject | Lee-Carter model | - |
dc.subject | Longevity | - |
dc.subject | Model uncertainty | - |
dc.subject | Mortality projection | - |
dc.subject | Renshaw-Haberman model | - |
dc.title | Mortality Projection using Bayesian Model Averaging | - |
dc.type | Conference_Paper | - |
dc.identifier.email | Benchimol, AG: benchi@hku.hk | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/978-3-319-89824-7_20 | - |
dc.identifier.scopus | eid_2-s2.0-85104137619 | - |
dc.identifier.hkuros | 289546 | - |
dc.identifier.spage | 111 | - |
dc.identifier.epage | 115 | - |
dc.publisher.place | Cham | - |