The Lee-Carter quantile mortality model

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 d...

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Detalles Bibliográficos
Autor: Santolino, Miguel
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2020
País:España
Institución:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Repositorio:Recercat. Dipósit de la Recerca de Catalunya
OAI Identifier:oai:recercat.cat:2445/170244
Acceso en línea:https://hdl.handle.net/2445/170244
Access Level:acceso abierto
Palabra clave:Mortalitat
Programació lineal
Longevitat
Anàlisi de regressió
Mortality
Linear programming
Longevity
Regression analysis
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spelling The Lee-Carter quantile mortality modelSantolino, MiguelMortalitatProgramació linealLongevitatAnàlisi de regressióMortalityLinear programmingLongevityRegression analysisThe 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.Taylor and Francis2020202220202020info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersion20 p.application/pdfhttps://hdl.handle.net/2445/170244Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésVersió postprint del document publicat a: https://doi.org/10.1080/03461238.2019.1707109Scandinavian Actuarial Journal, 2020, vol. 2020, num. 7, p. 614-633https://doi.org/10.1080/03461238.2019.1707109(c) Taylor and Francis, 2020info:eu-repo/semantics/openAccessoai:recercat.cat:2445/1702442026-05-29T05:05:01Z
dc.title.none.fl_str_mv The Lee-Carter quantile mortality model
title The Lee-Carter quantile mortality model
spellingShingle The Lee-Carter quantile mortality model
Santolino, Miguel
Mortalitat
Programació lineal
Longevitat
Anàlisi de regressió
Mortality
Linear programming
Longevity
Regression analysis
title_short The Lee-Carter quantile mortality model
title_full The Lee-Carter quantile mortality model
title_fullStr The Lee-Carter quantile mortality model
title_full_unstemmed The Lee-Carter quantile mortality model
title_sort The Lee-Carter quantile mortality model
dc.creator.none.fl_str_mv Santolino, Miguel
author Santolino, Miguel
author_facet Santolino, Miguel
author_role author
dc.subject.none.fl_str_mv Mortalitat
Programació lineal
Longevitat
Anàlisi de regressió
Mortality
Linear programming
Longevity
Regression analysis
topic Mortalitat
Programació lineal
Longevitat
Anàlisi de regressió
Mortality
Linear programming
Longevity
Regression analysis
description 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.
publishDate 2020
dc.date.none.fl_str_mv 2020
2020
2020
2022
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/170244
url https://hdl.handle.net/2445/170244
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: https://doi.org/10.1080/03461238.2019.1707109
Scandinavian Actuarial Journal, 2020, vol. 2020, num. 7, p. 614-633
https://doi.org/10.1080/03461238.2019.1707109
dc.rights.none.fl_str_mv (c) Taylor and Francis, 2020
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) Taylor and Francis, 2020
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 20 p.
application/pdf
dc.publisher.none.fl_str_mv Taylor and Francis
publisher.none.fl_str_mv Taylor and Francis
dc.source.none.fl_str_mv Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
reponame:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.812429

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