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http://hdl.handle.net/2445/139663
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DC Field | Value | Language |
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dc.contributor.author | Andrés Sánchez, Jorge de | - |
dc.contributor.author | González-Vila Puchades, Laura | - |
dc.date.accessioned | 2019-09-09T12:18:11Z | - |
dc.date.available | 2020-07-31T05:10:27Z | - |
dc.date.issued | 2019-07 | - |
dc.identifier.issn | 1875-6891 | - |
dc.identifier.uri | http://hdl.handle.net/2445/139663 | - |
dc.description.abstract | The Lee-Carter model is a useful dynamic stochastic model to represent the evolution of central mortality rates throughout time. This model only considers the uncertainty about the coefficient related to the mortality trend over time but not to the age-dependent coefficients. This paper proposes a fuzzy-random extension of the Lee-Carter model that allows quantifying the uncertainty of both kinds of parameters. As it is commonplace in actuarial literature, the variability of the time-dependent index is modeled as an ARIMA time series. Likewise, the uncertainty of the age-dependent coefficients is also quantified, but by using triangular fuzzy numbers. The consideration of this last hypothesis requires developing and solving a fuzzy regression model. Once the fuzzy-random extension has been introduced, it is also shown how to obtain some variables linked with central mortality rates such as death probabilities or life expectancies by using fuzzy numbers arithmetic. It is simultaneously shown the applicability of our developments with data of Spanish male population in the period 1970-2012. Finally, we make a comparative assessment of our method with alternative Lee-Carter model estimates on 16 Western Europe populations. | - |
dc.format.extent | 20 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Taylor and Francis | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.2991/ijcis.d.190626.001 | - |
dc.relation.ispartof | International Journal Of Computational Intelligence Systems, 2019, vol. 12, num. 2, p. 775-794 | - |
dc.relation.uri | https://doi.org/10.2991/ijcis.d.190626.001 | - |
dc.rights | (c) Taylor and Francis, 2019 | - |
dc.source | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) | - |
dc.subject.classification | Mortalitat | - |
dc.subject.classification | Conjunts borrosos | - |
dc.subject.classification | Lògica borrosa | - |
dc.subject.classification | Variables aleatòries | - |
dc.subject.other | Mortality | - |
dc.subject.other | Fuzzy sets | - |
dc.subject.other | Fuzzy logic | - |
dc.subject.other | Random variables | - |
dc.title | A Fuzzy-Random Extension of the Lee-Carter Mortality Prediction Model | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 691122 | - |
dc.date.updated | 2019-09-09T12:18:11Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) |
Files in This Item:
File | Description | Size | Format | |
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691122.pdf | 431.02 kB | Adobe PDF | View/Open |
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