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Title: A Fuzzy-Random Extension of the Lee-Carter Mortality Prediction Model
Author: Andrés Sánchez, Jorge de
González-Vila Puchades, Laura
Keywords: Mortalitat
Conjunts borrosos
Lògica borrosa
Variables aleatòries
Fuzzy sets
Fuzzy logic
Random variables
Issue Date: Jul-2019
Publisher: Taylor and Francis
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.
Note: Versió postprint del document publicat a:
It is part of: International Journal Of Computational Intelligence Systems, 2019, vol. 12, num. 2, p. 775-794
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ISSN: 1875-6891
Appears in Collections:Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

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