Multiple-Decrement Compositional Forecasting with the Lee-Carter Model

Author: 
Date created: 
2014-07-10
Identifier: 
etd8459
Keywords: 
Lee-Carter model
Compositional data analysis
Death density
Cause of death
Accidental death rider
Abstract: 

Changes in cause of death patterns have a great impact on health and social care costs paid by government and insurance companies. Unfortunately an overwhelming majority of methods for mortality projections is based on overall mortality with only very few studies focusing on forecasting cause-specific mortality. In this project, our aim is to forecast cause-specific death density with a coherent model. Since cause-specific death density obeys a unit sum constraint, it can be considered as compositional data. The most popular overall mortality forecasting model, Lee-Carter model, is applied on compositional cause-specific death density. The predicted cause-specific death density is used to calculate life insurance and accidental death rider.

Document type: 
Graduating extended essay / Research project
Rights: 
Copyright remains with the author. The author granted permission for the file to be printed and for the text to be copied and pasted.
File(s): 
Supervisor(s): 
Gary Parker
Department: 
Science: Department of Statistics and Actuarial Science
Thesis type: 
(Project) M.Sc.
Statistics: