Abstract
Modeling log-mortality rates on O-U type processes and forecasting life expectancies are explored using U.S. data. In the classic Lee-Carter model of mortality, the time trend and the age-specific pattern of mortality over age group are linear, this is not the feature of mortality model. To avoid this disadvantage, O-U type processes will be used to model the log-mortality in this paper. In fact, this model is an AR(1) process, but with a nonlinear time drift term. Based on the mortality data of America from Human Mortality database (HMD), mortality projection consistently indicates a preference for mortality with O-U type processes over those with the classical Lee-Carter model. By means of this model, the low bounds of mortality rates at every age are given. Therefore, lengthening of maximum life expectancies span is estimated in this paper.
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Supported by National Social Science Fund of China (17BTJ023).
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Zheng, J., Tong, Cq. & Zhang, Gj. Modeling stochastic mortality with O-U type processes. Appl. Math. J. Chin. Univ. 33, 48–58 (2018). https://doi.org/10.1007/s11766-018-3349-7
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DOI: https://doi.org/10.1007/s11766-018-3349-7