We propose a methodological approach in order to improve the predictive accuracy of the existing survival models. The central idea is to model the ratio between the observed death rates and the corresponding tted values obtained as outputs of a survival model we select, by means of the Cox-Ingersoll-Ross model.

Using Interest Rate Models to Improve Mortality Forecast​

DI LORENZO, EMILIA;
2017

Abstract

We propose a methodological approach in order to improve the predictive accuracy of the existing survival models. The central idea is to model the ratio between the observed death rates and the corresponding tted values obtained as outputs of a survival model we select, by means of the Cox-Ingersoll-Ross model.
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/679184
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact