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 / Apicella, G.; Dacorogna, M.; DI LORENZO, Emilia; Sibillo, M.. - (2017). (Intervento presentato al convegno Insurance Risk and Finance Research Conference tenutosi a Singapore nel 29,30 June 2017).
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.
