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Analysis of outliers in Mortality Index of Lee-Carter Model: Application to Spanish mortality data

  • Autores: Ana María Debón Aucejo Árbol académico, Juan Carlos García Díaz Árbol académico
  • Localización: XXXI Congreso Nacional de Estadística e Investigación Operativa ; V Jornadas de Estadística Pública: Murcia, 10-13 de febrero de 2009 : Libro de Actas, 2009, ISBN 978-84-691-8159-1
  • Idioma: inglés
  • Texto completo no disponible (Saber más ...)
  • Resumen

    • One of the most outstanding models, and also those more frequently used by actuaries, is the Lee-Carter model. The dynamic graduation of mortality data by a model has as its objective the satisfactory estimation and prediction of the death rates based on mortality data but using an age and year dependent function whose parameters are adjusted from the crude rates obtainable directly from the data. The Lee and Carter model ts a function f(ax, bx, kt) to mortality measurements where ax and bx are age-dependent parameters and kt is a speci c mortality index for each year or unit of time. This paper applies the Lee-Carter model, paying attention to the analysis and study of outliers in mortality index.

      Outlier correction is an essential task because the presence of one or more outliers in the observed series may seriously damage identi cation and estimation of the ARIMA model.

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