A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
Year of publication: |
2012
|
---|---|
Authors: | Giacometti, Rosella ; Bertocchi, Marida ; Rachev, Svetlozar T. ; Fabozzi, Frank J. |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 50.2012, 1, p. 85-93
|
Publisher: |
Elsevier |
Subject: | Mortality rates | Lee–Carter model | Autoregression–autoregressive conditional heteroskedasticity model | AR(1)–ARCH(1) model |
Type of publication: | Article |
---|---|
Classification: | C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; C59 - Econometric Modeling. Other ; G22 - Insurance; Insurance Companies |
Source: |
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