Russolillo, Maria (2006) Lee-Carter mortality forecasting: methodological and computational issues. [Tesi di dottorato] (Inedito)
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| Tipologia del documento: | Tesi di dottorato |
|---|---|
| Lingua: | English |
| Titolo: | Lee-Carter mortality forecasting: methodological and computational issues |
| Autori: | Autore Email Russolillo, Maria [non definito] |
| Data: | 2006 |
| Tipo di data: | Pubblicazione |
| Numero di pagine: | 91 |
| Istituzione: | Università degli Studi di Napoli Federico II |
| Dipartimento: | Matematica e statistica |
| Dottorato: | Matematica per l'analisi economica e la finanza |
| Ciclo di dottorato: | 17 |
| Coordinatore del Corso di dottorato: | nome email Di Lorenzo, Emilia [non definito] |
| Tutor: | nome email Di Lorenzo, Emilia [non definito] |
| Data: | 2006 |
| Numero di pagine: | 91 |
| Parole chiave: | Mortality forecasting, Life expectancy, Fair value |
| Settori scientifico-disciplinari del MIUR: | Area 13 - Scienze economiche e statistiche > SECS-P/05 - Econometria Area 13 - Scienze economiche e statistiche > SECS-S/06 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie |
| Depositato il: | 31 Lug 2008 |
| Ultima modifica: | 30 Apr 2014 19:23 |
| URI: | http://www.fedoa.unina.it/id/eprint/697 |
| DOI: | 10.6092/UNINA/FEDOA/697 |
Abstract
In this thesis we describe relevant aspects of the development of survival modelling in actuarial mathematics. In particular we introduce some recent mortality projection models and research dealing with uncertainty in future trends and we review the relevant actuarial evidence. We then investigate the feasibility of using the Lee-Carter methodology to construct mortality forecasts for the Italian population. We fit the model to the matrix of Italian death rates for each gender from 1950 to 2000. A time-varying index of mortality is forecasted in an ARIMA framework and is used to generate projected life tables. In particular we focus on life expectancies at birth and, for the purpose of comparison, we introduce an alternative approach for forecasting life expectancies on a period basis. The resulting forecasts generated by the two methods are then compared. We also analyse, in a Lee Carter mortality context, the standard endowment policy under a fair value approach. In order to determine an actuarial model for the fair valuation of the stochastic stream of cash flows at time t, we base our demographic assumptions on the life and death probabilities extracted from the tables constructed using the Lee Carter model. The emphasis of the existing literature has been on financial markets; the primary feature of our model is its focus on the demographic reference system.
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