Investigating Mortality Uncertainty Using the Block Bootstrap
This paper proposes a block bootstrap method for measuring mortality risk under the Lee-Carter model framework. In order to take account of all sources of risk (the process risk, the parameter risk, and the model risk) properly, a block bootstrap is needed to cope with the spatial dependence found i...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2010-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2010/813583 |
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| _version_ | 1850179256706924544 |
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| author | Xiaoming Liu W. John Braun |
| author_facet | Xiaoming Liu W. John Braun |
| author_sort | Xiaoming Liu |
| collection | DOAJ |
| description | This paper proposes a block bootstrap method for measuring mortality risk under the Lee-Carter model framework. In order to take account of all sources of risk (the process risk, the parameter risk, and the model risk) properly, a block bootstrap is needed to cope with the spatial dependence found in the residuals. As a result, the prediction intervals we obtain for life expectancy are more accurate than the ones obtained from other similar methods. |
| format | Article |
| id | doaj-art-9f234ce30e33480cae9e6ea3fec9278b |
| institution | OA Journals |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2010-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-9f234ce30e33480cae9e6ea3fec9278b2025-08-20T02:18:33ZengWileyJournal of Probability and Statistics1687-952X1687-95382010-01-01201010.1155/2010/813583813583Investigating Mortality Uncertainty Using the Block BootstrapXiaoming Liu0W. John Braun1Department of Statistical and Actuarial Sciences, University of Western Ontario, London, ON, N6A 5B7, CanadaDepartment of Statistical and Actuarial Sciences, University of Western Ontario, London, ON, N6A 5B7, CanadaThis paper proposes a block bootstrap method for measuring mortality risk under the Lee-Carter model framework. In order to take account of all sources of risk (the process risk, the parameter risk, and the model risk) properly, a block bootstrap is needed to cope with the spatial dependence found in the residuals. As a result, the prediction intervals we obtain for life expectancy are more accurate than the ones obtained from other similar methods.http://dx.doi.org/10.1155/2010/813583 |
| spellingShingle | Xiaoming Liu W. John Braun Investigating Mortality Uncertainty Using the Block Bootstrap Journal of Probability and Statistics |
| title | Investigating Mortality Uncertainty Using the Block Bootstrap |
| title_full | Investigating Mortality Uncertainty Using the Block Bootstrap |
| title_fullStr | Investigating Mortality Uncertainty Using the Block Bootstrap |
| title_full_unstemmed | Investigating Mortality Uncertainty Using the Block Bootstrap |
| title_short | Investigating Mortality Uncertainty Using the Block Bootstrap |
| title_sort | investigating mortality uncertainty using the block bootstrap |
| url | http://dx.doi.org/10.1155/2010/813583 |
| work_keys_str_mv | AT xiaomingliu investigatingmortalityuncertaintyusingtheblockbootstrap AT wjohnbraun investigatingmortalityuncertaintyusingtheblockbootstrap |