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Lévy CARMA models for shocks in mortality

  • Asmerilda Hitaj
  • Lorenzo Mercuri
  • Edit RrojiEmail author
Article
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Abstract

Recent literature on mortality modeling suggests to include in the dynamics of mortality rates the effects of time, age, the interaction of these two and a term for possible shocks. In this paper we investigate models that use Legendre polynomials for the inclusion of age and cohort effects. In order to capture the dynamics of the shock term it is suggested to consider continuous autoregressive moving average (CARMA) models due to their flexibility in reproducing different autoregressive profiles of the shock term. In order to validate the proposed model, different life tables are considered. In particular the male life tables for New Zealand, Taiwan and Japan are used for the presentation of in-sample fitting. Empirical analysis suggests that the inclusion of more flexible models such as higher-order CARMA(p,q) models leads to better in-sample fitting.

Keywords

Force of mortality CARMA(p q) model Lévy process 

JEL Classification

C02 C53 G22 

Notes

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Copyright information

© Associazione per la Matematica Applicata alle Scienze Economiche e Sociali (AMASES) 2019

Authors and Affiliations

  1. 1.Department of Statistics and Quantitative MethodsUniversity of Milano-BicoccaMilanItaly
  2. 2.Department of Economics, Management and Quantitative MethodsUniversity of MilanMilanItaly
  3. 3.Japan Science and Technology Agency CRESTTokyoJapan
  4. 4.Department of MathematicsPolitecnico di MilanoMilanItaly

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