Modeling Shifting Mortality And Its Applications
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Modeling Shifting Mortality And Its Applications
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Author : Futoshi Ishii
language : en
Publisher: Springer Nature
Release Date : 2023-07-31
Modeling Shifting Mortality And Its Applications written by Futoshi Ishii and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-07-31 with Social Science categories.
This book describes a novel method for mortality modeling applying the shifting feature of the mortality curve. In Japan, the increase and pace of the extension in life expectancy have been quite remarkable. Therefore, existing mortality models often cannot capture the peculiarities of Japanese mortality, nor can the Lee–Carter model, which is now regarded internationally as a standard model. One of the important concepts to model recent Japanese mortality is a shifting feature. In this book, the linear difference model, which has many advantages for modeling and analyzing Japanese mortality, is introduced. The book shows applications of the model to mortality projection with a tangent vector field approach and decomposition of the change of modal age at death. The models introduced here are useful tools for modeling mortality with strong shifting features, as in Japan.
An Extended Linear Difference Model For Mortality Projection With Applications To Japan
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Author : Futoshi Ishii
language : en
Publisher:
Release Date : 2014
An Extended Linear Difference Model For Mortality Projection With Applications To Japan written by Futoshi Ishii and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
In this dissertation, we propose the Tangent Vector Field (TVF) model for Japanese mortality projection, which is an extended Linear Difference (LD) model, and show its applications. In the two chapters following the introduction, we describe the mortality trends in Japan and review the mortality projection models for Japan. Then, in the following two chapters, we describe the data and methods for the mortality models, show the results of fitting, and discuss them with special emphasis on the LD model. We describe the mathematical formulations for decline-type and shift-type models, and discuss the inverse function of log mortality and differential forms of mortality models. We discuss five models: two decline-type models (the Proportional Hazard (PH) and Lee--Carter (LC) models), and three shift-type models (the Horizontal Shifting (HS), Horizontal Lee--Carter (HL), and LD models). In particular, we compare the LC and LD models from a statistical viewpoint. The result guides better construction of a mortality projection model, namely, a blended model with LC properties in youth and LD properties in older age. In the last chapter, we propose the TVF model applying the idea of tangent vector fields on the log mortality surface. We show a fully specified example of the projection procedure of the TVF model with all constants and coefficients applied for Japanese mortality projection. Then, we compare the TVF and LC models' results of mortality projection. From the observation of the relative mortality rates, we see that the LC model expresses mortality improvement only in a vertical direction, whereas the TVF model succeeds in expressing a shifting of mortality improvement in the direction of older ages that are observed in the actual mortality. In addition, we compare the projected mx curves. The mx by the LC model exhibits an unnatural pattern because the slope of the curve diminishes once around the age of 60 years and becomes much steeper after 80 years. The curve of the TVF model is more plausible. As a whole, we observe that the TVF model has many advantages for Japanese mortality projection compared with the LC model. We show that the TVF model proposed in this dissertation is not only quite useful for Japanese mortality projection but also has various applicability. At this point in time, there may be few countries with such strong shifting features for old age mortality as Japan. However, some countries are likely to experience the same mortality situation as Japan in the future through the extension of life expectancy. Thus, the TVF model will be a useful tool for projections in such situations.
Modelling Mortality With Actuarial Applications
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Author : Angus S. Macdonald
language : en
Publisher: Cambridge University Press
Release Date : 2018-05-03
Modelling Mortality With Actuarial Applications written by Angus S. Macdonald and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-03 with Business & Economics categories.
Modern mortality modelling for actuaries and actuarial students, with example R code, to unlock the potential of individual data.
Dynamic Population Models
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Author : Robert Schoen
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-05-05
Dynamic Population Models written by Robert Schoen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-05-05 with Social Science categories.
Dynamic Population Models is the first book to comprehensively discuss and synthesize the emerging field of dynamic modeling. Incorporating the latest research, it includes thorough discussions of population growth and momentum under gradual fertility declines, the impact of changes in the timing of events on fertility measures, and the complex relationship between period and cohort measures. The book is designed to be accessible to those with only a minimal knowledge of calculus.
Modeling Infectious Mortality Risk And Its Application
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Author : Fen-Ying Chen
language : en
Publisher:
Release Date : 2018
Modeling Infectious Mortality Risk And Its Application written by Fen-Ying Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
How Long Do We Live
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Author : Elisabetta Barbi
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-03-21
How Long Do We Live written by Elisabetta Barbi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-21 with Social Science categories.
This book reviews the debate on how best to measure period longevity. Leading experts in demography critically examine the existence of the tempo effect in mortality, present extensions and applications, and compare period and cohort longevity measures.
A Model Of The Dimensions Of Mortality And Its Application To Paleodemography
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Author : Ann Marie Palkovich
language : en
Publisher:
Release Date : 1978
A Model Of The Dimensions Of Mortality And Its Application To Paleodemography written by Ann Marie Palkovich and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with Mortality categories.
Modeling Non Linearity In Mortality Data
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Author : Huijing Li
language : en
Publisher:
Release Date : 2015
Modeling Non Linearity In Mortality Data written by Huijing Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Human mortality has been improving faster than expected over the past few decades. This unprecedented improvement has caused significant financial stress to pension plan sponsors and annuity providers. To better model and forecast mortality rates, we examine the nonlinearity in mortality data from England and Wales with a sample period of 1900-2011. More specifically, we consider four nonlinear time series models: threshold autoregressive model, Markov regime switching model, structural change model, and auto-regressive conditional heteroskedasticity model. We then compare their goodness of fit and forecasting performance. Finally, we study the impact of different nonlinear models on longevity bond pricing.
The Stochastic Mortality Modeling And The Pricing Of Mortality Longevity Linked Derivatives
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Author : Shuo-Li Chuang
language : en
Publisher:
Release Date : 2013
The Stochastic Mortality Modeling And The Pricing Of Mortality Longevity Linked Derivatives written by Shuo-Li Chuang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The Lee-Carter mortality model provides the very first model for modeling the mortality rate with stochastic time and age mortality dynamics. The model is constructed modeling the mortality rate to incorporate both an age effect and a period effect. The Lee-Carter model provides the fundamental set up currently used in most modern mortality modeling. Various extensions of the Lee-Carter model include either adding an extra term for a cohort effect or imposing a stochastic process for mortality dynamics. Although both of these extensions can provide good estimation results for the mortality rate, applying them for the pricing of the mortality/ longevity linked derivatives is not easy. While the current stochastic mortality models are too complicated to be explained and to be implemented, transforming the cohort effect into a stochastic process for the pricing purpose is very difficult. Furthermore, the cohort effect itself sometimes may not be significant. We propose using a new modified Lee-Carter model with a Normal Inverse Gaussian (NIG) Lévy process along with the Esscher transform for the pricing of mortality/ longevity linked derivatives. The modified Lee-Carter model, which applies the Lee-Carter model on the growth rate of mortality rates rather than the level of iv mortality rates themselves, performs better than the current mortality rate models shown in Mitchell et al (2013). We show that the modified Lee-Carter model also retains a similar stochastic structure to the Lee-Carter model, so it is easy to demonstrate the implication of the model. We proposed the additional NIG Lévy process with Esscher transform assumption that can improve the fit and prediction results by adapting the mortality improvement rate. The resulting mortality rate matches the observed pattern that the mortality rate has been improving due to the advancing development of technology and improvements in the medical care system. The resulting mortality rate is also developed under a martingale measure so it is ready for the direct application of pricing the mortality/longevity linked derivatives, such as q-forward, longevity bond, and mortality catastrophe bond. We also apply our proposed model along with an information theoretic optimization method to construct the pricing procedures for a life settlement. While our proposed model can improve the mortality rate estimation, the application of information theory allows us to incorporate the private health information of a specific policy holder and hence customize the distribution of the death year distribution for the policy holder so as to price the life settlement. The resulting risk premium is close to the practical understanding in the life settlement market.
How Long Do We Live
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Author : Elisabetta Barbi
language : en
Publisher: Springer
Release Date : 2009-09-03
How Long Do We Live written by Elisabetta Barbi and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-09-03 with Social Science categories.
This book reviews the debate on how best to measure period longevity. Leading experts in demography critically examine the existence of the tempo effect in mortality, present extensions and applications, and compare period and cohort longevity measures.