New Actuarial Science Findings from Erasmus University Discussed (Testing For A Unit Root In Lee-carter Mortality Model)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Researchers detail new data in Science - Actuarial Science. According to news reporting from Rotterdam, Netherlands, by VerticalNews journalists, research stated, "Motivated by a recent discovery that the two-step inference for the Lee-Carter mortality model may be inconsistent when the mortality index does not follow from a nearly integrated AR(1) process, we propose a test for a unit root in a Lee-Cartermodelwith an AR(p) process for the mortality index."

The news correspondents obtained a quote from the research from Erasmus University, "Although testing for a unit root has been studied extensively in econometrics, the method and asymptotic results developed in this paper are unconventional. Unlike a blind application of existing R packages for implementing the two-step inference procedure in Lee and Carter (1992) to the U.S. mortality rate data, the proposed test rejects the null hypothesis that the mortality index follows from a unit root AR(1) process, which calls for serious attention on using the future mortality projections based on the Lee-Carter model in policy making, pricing annuities and hedging longevity risk."

According to the news reporters, the research concluded: "A simulation study is conducted to examine the finite sample behavior of the proposed test too."

For more information on this research see: Testing For A Unit Root In Lee-carter Mortality Model. Astin Bulletin, 2017;47(3):715-735. Astin Bulletin can be contacted at: Cambridge Univ Press, Edinburgh Bldg, Shaftesbury Rd, CB2 8RU Cambridge, England.

Our news journalists report that additional information may be obtained by contacting X. Leng, Erasmus University, NL-3000 DR Rotterdam, Netherlands.

Keywords for this news article include: Rotterdam, Netherlands, Europe, Actuarial Science, Science, Erasmus University.

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