| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077636 | Insurance: Mathematics and Economics | 2006 | 23 Pages |
Abstract
In this paper, a fuzzy formulation of the Lee-Carter [Lee, R.D., Carter, L.R., 1992. Modeling and forecasting U.S. mortality. J. Amer. Statist. Assoc. 419 (87), 659-675] model is proposed. The standard Lee-Carter (LC) model, which uses singular value decomposition, assumes that the errors have a constant variance over all ages. This statement, however, does not often hold. The advantage of such a fuzzy approach is that the errors are viewed as fuzziness of the model structure; hence the homoscedasticity is not an issue.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Marie-Claire Koissi, Arnold F. Shapiro,