Modeling stochastic mortality with O-U type processes

(整期优先)网络出版时间:2018-01-11
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Modelinglog-mortalityratesonO-UtypeprocessesandforecastinglifeexpectanciesareexploredusingU.S.data.IntheclassicLee-Cartermodelofmortality,thetimetrendandtheage-specificpatternofmortalityoveragegrouparelinear,thisisnotthefeatureofmortalitmodel.Toavoidthisdisadvantage,O-Utypeprocesseswillbeusedtomodelthelog-mortalityinthispaper.Infact,thismodelisanAR(1)process,butwithanonlineartimedriftterm.BasedonthemortalitydataofAmericafromHumanMortalitydatabase(HMD),mortalityprojectionconsistentlyindicatesapreferenceformortalitywithO-UtypeprocessesoverthosewiththeclassicalLee-Cartermodel.Bymeansofthismodel,thelowboundsofmortalityratesateveryagearegiven.Therefore,lengtheningofmaximumlifeexpectanciesspanisestimatedinthispaper.