A Fuzzy-Random Extension of the Lee–Carter Mortality Prediction Model
- 10.2991/ijcis.d.190626.001How to use a DOI?
- Lee–Carter model; Fuzzy numbers; Fuzzy regression; Fuzzy-random modeling
The Lee–Carter model is a useful dynamic stochastic model to represent the evolution of central mortality rates throughout time. This model only considers the uncertainty about the coefficient related to the mortality trend over time but not to the age-dependent coefficients. This paper proposes a fuzzy-random extension of the Lee–Carter model that allows quantifying the uncertainty of both kinds of parameters. As it is commonplace in actuarial literature, the variability of the time-dependent index is modeled as an ARIMA time series. Likewise, the uncertainty of the age-dependent coefficients is also quantified, but by using triangular fuzzy numbers. The consideration of this last hypothesis requires developing and solving a fuzzy regression model. Once the fuzzy-random extension has been introduced, it is also shown how to obtain some variables linked with central mortality rates such as death probabilities or life expectancies by using fuzzy numbers arithmetic. It is simultaneously shown the applicability of our developments with data of Spanish male population in the period 1970–2012. Finally we make a comparative assessment of our method with alternative Lee–Carter model estimates on 16 Western Europe populations.
- © 2019 The Authors. Published by Atlantis Press SARL.
- Open Access
- This is an open access article distributed under the CC BY-NC 4.0 license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - JOUR AU - Jorge de Andrés-Sánchez AU - Laura González-Vila Puchades PY - 2019 DA - 2019/07/18 TI - A Fuzzy-Random Extension of the Lee–Carter Mortality Prediction Model JO - International Journal of Computational Intelligence Systems SP - 775 EP - 794 VL - 12 IS - 2 SN - 1875-6883 UR - https://doi.org/10.2991/ijcis.d.190626.001 DO - 10.2991/ijcis.d.190626.001 ID - deAndrés-Sánchez2019 ER -