Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/170244
Title: The Lee-Carter quantile mortality model
Author: Santolino, Miguel
Keywords: Mortalitat
Programació lineal
Longevitat
Anàlisi de regressió
Mortality
Linear programming
Longevity
Regression analysis
Issue Date: Aug-2020
Publisher: Taylor and Francis
Abstract: The Lee-Carter (LC) stochastic mortality model has been widely used for making future projections of mortality rates. In the framework of the LC model, the response function is non-linear in parameters. Here, we adapt this LC framework to compute conditional quantiles. The LC quantile model can be defined as quantile non-linear regression conditioned to age and the calendar year. Two strategies for estimating coefficients based on interior-point methods are described. We show that the LC quantile model provides additional information to that furnished by the traditional LC conditional mean. An application to Spanish mortality data is reported.
Note: Versió postprint del document publicat a: https://doi.org/10.1080/03461238.2019.1707109
It is part of: Scandinavian Actuarial Journal, 2020, vol. 2020, num. 7, p. 614-633
URI: http://hdl.handle.net/2445/170244
Related resource: https://doi.org/10.1080/03461238.2019.1707109
ISSN: 0346-1238
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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