International Journal of Computational Intelligence Systems

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Volume 12, Issue 2, 2019, Pages 775 - 794

A Fuzzy-Random Extension of the Lee–Carter Mortality Prediction Model

Authors
Jorge de Andrés-Sánchez1, *, Laura González-Vila Puchades2
1Social and Business Research Laboratory, Business Management Department, Rovira i Virgili University, Av. Universitat 1, 43204 Reus, Spain
2Department of Mathematics for Economics, Finance and Actuarial Science, University of Barcelona, Av. Diagonal 690, 08034 Barcelona, Spain
*Corresponding author. Email: jorge.deandres@urv.cat
Corresponding Author
Jorge de Andrés-Sánchez
Received 12 September 2018, Accepted 17 June 2019, Available Online 18 July 2019.
DOI
10.2991/ijcis.d.190626.001How to use a DOI?
Keywords
Lee–Carter model; Fuzzy numbers; Fuzzy regression; Fuzzy-random modeling
Abstract

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.

Copyright
© 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/).

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<Previous Article In Issue
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Journal
International Journal of Computational Intelligence Systems
Volume-Issue
12 - 2
Pages
775 - 794
Publication Date
2019/07/18
ISSN (Online)
1875-6883
ISSN (Print)
1875-6891
DOI
10.2991/ijcis.d.190626.001How to use a DOI?
Copyright
© 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

risenwbib
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  -