

FlashChat  Actuarial Discussion  Preliminary Exams  CAS/SOA Exams  Cyberchat  Around the World  Suggestions 
DW Simpson 
Actuarial Salary Surveys 
Actuarial Meeting Schedule 
Contact DW Simpson 
LongTerm Actuarial Math Old Exam MLC Forum 

Thread Tools  Search this Thread  Display Modes 
#1




LeeCarter Model
The phrase "stochastic model" brings to mind models whose output are random. For example, the CoxIngersollRoss interest rate model, where outputs depend on a random error term.
For LeeCarter model, I can't quite wrap my head around why it's considered "stochastic". To me, it seems once the parameters are properly calibrated with past data, the projection of future mortality rates are deterministicln(mu_xt) = alpha_x + beta_x * kappa_t. So why is this classified as stochastic? My thoughts: is it because in the framework, we assumed that there is an error term, although we're not actually projecting it? Or is it because kappa_t is a variable indexed by time? Thanks.
__________________
ERM ILALP ILALFV R&T Mod ILA Mod DMAC FAC 
#2




Quote:
__________________
Jim Daniel Jim Daniel's Actuarial Seminars www.actuarialseminars.com jimdaniel@actuarialseminars.com 
#3




Quote:
The K_t is a functional of Normal distrn. If you look close enough, it's a random walk with a constant drift, or a AR(1) process in time series.
__________________
VEEs: SOA: 
Tags 
leecarter, mortality model 
Thread Tools  Search this Thread 
Display Modes  

