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Longevity Greeks: What Insurers and Capital Market Investors Should Know About?
< 1, then ctf ,2 tends to a constant as t f →∞. 17 Proof. See Appendix D. Our estimated GARCH(1 ... tf2 )− G(Q)1 (xf2 , tf2 )G(Q)2 (xf1 , tf1 ) . (17) It is clear that u(G1,G2)(xf1 , t f 1 ) and u ...- Authors: Kenneth Zhou, Siu-Hang Li
- Date: Jul 2017
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Demography>Longevity; Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Risk management
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2005 Living to 100 and Beyond Monograph: The Lee-Carter Model for Forecasting Mortality Revisited
2005 Living ... time-series regression, , ^ ),( tt atjde += ω (17) where };LS,TC,IO,AO{=∈ Jj 0),( =tjd for all ... 195.77 Canada 2.6218 2.2318 156.29 134.84 17 TABLE 4 Interval Forecast of the Central Rate ...- Authors: Siu-Hang Li
- Date: Jan 2005
- Competency: External Forces & Industry Knowledge
- Topics: Demography
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Testing Deterministic versus Stochastic Trends in the Lee-Carter Mortality Indexes and Its Implications for Projecting Mortality Improvements at Advanced Ages
Testing Deterministic versus Stochastic Trends in the Lee-Carter Mortality Indexes and Its Implications ... error, which would be especially important in 17 early years of forecast. Bell (1997) and Lee (2000) ...- Authors: Wai Chan, Siu-Hang Li, SIU HUNG CHEUNG
- Date: Jan 2008
- Topics: Experience Studies & Data>Mortality; Global Perspectives; Modeling & Statistical Methods>Deterministic models; Modeling & Statistical Methods>Stochastic models