Lévy CARMA models for shocks in mortality

Asmerilda Hitaj (), Lorenzo Mercuri () and Edit Rroji ()
Additional contact information
Asmerilda Hitaj: University of Milano-Bicocca
Lorenzo Mercuri: University of Milan
Edit Rroji: Politecnico di Milano

Decisions in Economics and Finance, 2019, vol. 42, issue 1, No 11, 205-227

Abstract: Abstract Recent literature on mortality modeling suggests to include in the dynamics of mortality rates the effects of time, age, the interaction of these two and a term for possible shocks. In this paper we investigate models that use Legendre polynomials for the inclusion of age and cohort effects. In order to capture the dynamics of the shock term it is suggested to consider continuous autoregressive moving average (CARMA) models due to their flexibility in reproducing different autoregressive profiles of the shock term. In order to validate the proposed model, different life tables are considered. In particular the male life tables for New Zealand, Taiwan and Japan are used for the presentation of in-sample fitting. Empirical analysis suggests that the inclusion of more flexible models such as higher-order CARMA(p,q) models leads to better in-sample fitting.

Keywords: Force of mortality; CARMA(p; q) model; Lévy process (search for similar items in EconPapers)
JEL-codes: C02 C53 G22 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s10203-019-00248-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00248-9

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10203/PS2

DOI: 10.1007/s10203-019-00248-9

Access Statistics for this article

Decisions in Economics and Finance is currently edited by Paolo Ghirardato

More articles in Decisions in Economics and Finance from Springer, Associazione per la Matematica
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().