Universiti Teknologi Malaysia Institutional Repository

Stochastic mortality model in a state-space framework

Mohd. Nor, S. R. and Yusof, F. and Bahar, A. (2019) Stochastic mortality model in a state-space framework. Malaysian Journal of Mathematical Sciences, 13 (2). pp. 251-264. ISSN 1823-8343

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The incorporation of the time-varying parameter in the mortality model has become one the main contributions in the actuarial field since it al- lows for the stochastic nature of the mortality rates. However, it has also become a growing concern among the researchers since the residu- als of the proposed model are evaluated independently. In this study, we extended the existing leading independent stochastic mortality model which is the O0Hare mortality model into the state-space representation of the O0Hare mortality model. The parameters of the extended model are estimated using the Expectation-Maximization algorithm of the max- imum likelihood estimation method. Using the Malaysian mortality data, we have found that our proposed model significantly improves the accu- racy of the in-sample fitting and the seven-year out-sample forecast as compared to the existing model considered.

Item Type:Article
Uncontrolled Keywords:O'Hare model and forecast, state-space, stochastic mortality model
Subjects:Q Science > QA Mathematics
ID Code:89517
Deposited By: Narimah Nawil
Deposited On:09 Feb 2021 13:01
Last Modified:09 Feb 2021 13:01

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