摘要翻译:
尽管Lee Carter模型框架无法建立特定的队列效应模型,但由于其简单性和鲁棒性而被广泛使用。人们提出了大量的队列效应模型的扩展,但没有达成一致意见。很难同时解释队列效应和年龄调整的改善,我们在这里测试一个简单的模型,可以解释两者:我们只需在Lee Carter框架中添加一个非年龄调整的队列组件。这是准确性和稳健性之间的权衡,但对于人类死亡率数据库中的各个国家,并与各种模型相比较,该模型准确地拟合了过去的死亡率数据,并给出了良好的回测预测。
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英文标题:
《A simple model of mortality trends aiming at universality: Lee Carter +
Cohort》
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作者:
Edouard Debonneuil
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最新提交年份:
2010
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分类信息:
一级分类:Quantitative Biology 数量生物学
二级分类:Populations and Evolution 种群与进化
分类描述:Population dynamics, spatio-temporal and epidemiological models, dynamic speciation, co-evolution, biodiversity, foodwebs, aging; molecular evolution and phylogeny; directed evolution; origin of life
种群动力学;时空和流行病学模型;动态物种形成;协同进化;生物多样性;食物网;老龄化;分子进化和系统发育;定向进化;生命起源
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一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要:
The Lee Carter modelling framework is widely used because of its simplicity and robustness despite its inability to model specific cohort effects. A large number of extensions have been proposed that model cohort effects but there is no consensus. It is difficult to simultaneously account for cohort effects and age-adjusted improvements and we here test a simple model that accounts for both: we simply add a non age-adjusted cohort component to the Lee Carter framework. This is a trade-off between accuracy and robustness but, for various countries present in the Human Mortality Database and compared to various models, the model accurately fits past mortality data and gives good backtesting projections.
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PDF链接:
https://arxiv.org/pdf/1003.1802