Availability of Lee-Carter Model in Housing Market Analysis
نویسندگان
چکیده
منابع مشابه
mortality forecasting based on lee-carter model
over the past decades a number of approaches have been applied for forecasting mortality. in 1992, a new method for long-run forecast of the level and age pattern of mortality was published by lee and carter. this method was welcomed by many authors so it was extended through a wider class of generalized, parametric and nonlinear model. this model represents one of the most influential recent d...
15 صفحه اولIdentification and forecasting in the Lee-Carter model
We consider the identification problem for the model of Lee and Carter (1992). The parameters of this model are known only to be identified up to certain transformations. Forecasts from the model may therefore depend on the arbitrarily chosen identification scheme. A condition for invariant forecasts is proposed. A number of standard forecast models are analyzed.
متن کاملTesting for a unit root in Lee-Carter mortality model
Xuan Leng1 and Liang Peng2 Abstract. Motivated by a recent discovery that the two-step inference for Lee-Carter mortality model is inconsistent when the mortality index does not follow from a nearly integrated AR(1) process, we propose a test for unit root in a Lee-Carter model with an AR(2) process for the mortality index. Although testing for a unit root has been studied extensively in econom...
متن کاملUnderstanding the Lee-Carter Mortality Forecasting Method
We demonstrate here several previously unrecognized or insufficiently appreciated properties of the Lee-Carter mortality forecasting approach, a method used widely in both the academic literature and practical applications. We show that this model is a special case of a considerably simpler, and less often biased, random walk with drift model, and prove that the age profile forecast from both a...
متن کاملComonotonic Bounds on the Survival Probabilities in the Lee-carter Model for Mortality Projection
In the Lee-Carter framework, future survival probabilities are random variables with an intricate distribution function. In large homogeneous portfolios of life annuities, Value-at-Risk or Conditional Tail Expectation of the total yearly payout of the company are approximately equal to the corresponding quantities involving random survival probabilities. This paper aims to derive some bounds in...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Housing and Urban Finance
سال: 2019
ISSN: 2508-3872
DOI: 10.38100/jhuf.2019.4.1.83