C. O'Hare
Structural breaks in mortality models and their consequences
O'Hare, C.; Li, Y.
Authors
Professor Youwei Li Youwei.Li@hull.ac.uk
Professor of Finance
Contributors
Michael Beer
Editor
Siu-Kui Au
Editor
Jim W. Hall
Editor
Abstract
In recent years, the issue of life expectancy has become of upmost importance to pension providers, insurance companies and the government bodies in the developed world. Significant and consistent improvements in mortality rates and, hence, life expectancy have led to unprecedented increases in the cost of providing for older ages. This has resulted in an explosion of stochastic mortality models forecasting trends in mortality data in order to anticipate future life expectancy and, hence, quantify the costs of providing for future aging populations. Many stochastic models of mortality rates identify linear trends in mortality rates by time, age and cohort, and forecast these trends into the future using standard statistical methods. The modeling approaches used failed to capture the effects of any structural change in the trend and, thus, potentially produced incorrect forecasts of future mortality rates. In this paper, we look at a range of leading stochastic models of mortality and test for structural breaks in the trend time series.
Citation
O'Hare, C., & Li, Y. (2014, July). Structural breaks in mortality models and their consequences. Presented at Second International Conference on Vulnerability and Risk Analysis and Management (ICVRAM) and the Sixth International Symposium on Uncertainty, Modeling, and Analysis (ISUMA), Liverpool, UK
Presentation Conference Type | Conference Paper (published) |
---|---|
Conference Name | Second International Conference on Vulnerability and Risk Analysis and Management (ICVRAM) and the Sixth International Symposium on Uncertainty, Modeling, and Analysis (ISUMA) |
Start Date | Jul 13, 2014 |
End Date | Jul 16, 2014 |
Acceptance Date | Jun 1, 2014 |
Online Publication Date | Jul 7, 2014 |
Publication Date | Jun 27, 2014 |
Deposit Date | Mar 19, 2019 |
Publisher | American Society of Civil Engineers |
Pages | 1190-1204 |
Series Title | CDRM Monographs |
Series Number | 9 |
Book Title | Vulnerability, Uncertainty, and Risk: Quantification, Mitigation, and Management |
ISBN | 9780784413609 |
DOI | https://doi.org/10.1061/9780784413609.120 |
Public URL | https://hull-repository.worktribe.com/output/1390112 |
Publisher URL | https://ascelibrary.org/doi/10.1061/9780784413609.120 |
You might also like
The Magnet Effect of Price Limits: An Agent-Based Approach
(2024)
Journal Article
The nexus of overnight trend and asset prices in China
(2024)
Journal Article
Performance of energy ETFs and climate risks
(2024)
Journal Article
Beyond threats: Extreme heatwaves and economic resilience in China
(2024)
Journal Article
Market Behaviors under the Stock Index Circuit Breaker using an Agent-based Approach
(2024)
Journal Article
Downloadable Citations
About Repository@Hull
Administrator e-mail: repository@hull.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2025
Advanced Search