Empirical Evidences on Predictive Accuracy of Survival Models

Emilia Di Lorenzo (), Michele La Rocca (), Albina Orlando (), Cira Perna and Marilena Sibillo ()
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Emilia Di Lorenzo: University of Naples Federico II, Dept. of Economic and Statistical Sciences
Michele La Rocca: University of Salerno, Dept. of Economics and Statistics
Albina Orlando: CNR, Istituto per le Applicazioni del Calcolo
Marilena Sibillo: University of Salerno, Dept. of Economics and Statistics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 87-90 from Springer

Abstract: Abstract The paper focuses on a stochastic proportional hazard model depicting the evolution of the force of mortality; in particular the real data are plotted against a specific survival model by means of the stochastic process that describes their ratio. The predictive accuracy of the survival model is investigated, since, by means of the calibrated “ratio process”, its forecasting skills are assessed. A statistical analysis is developed in order to test the capacity the assumed survival model has to follow the real behavior of the observed data.

Keywords: Survival models; Longevity risk; Parametric bootstrap (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_20

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DOI: 10.1007/978-3-319-05014-0_20

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