| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077080 | Insurance: Mathematics and Economics | 2012 | 9 Pages |
Abstract
⺠Two AR(1)-ARCH(1) models for mortality rate forecasting are proposed. ⺠Forecasting performance compared to Lee-Carter model for Italian mortality rates. ⺠Model with Student-t innovation that provides best fit among models is investigated. ⺠Proposed models are capable of enlarging mortality matrix in terms of time and age.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Rosella Giacometti, Marida Bertocchi, Svetlozar T. Rachev, Frank J. Fabozzi,