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Empirical Evidences on Predictive Accuracy of Survival Models

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Emilia Di Lorenzo

    (University of Naples Federico II, Dept. of Economic and Statistical Sciences)

  • Michele La Rocca

    (University of Salerno, Dept. of Economics and Statistics)

  • Albina Orlando

    (CNR, Istituto per le Applicazioni del Calcolo)

  • Cira Perna

    (University of Salerno, Dept. of Economics and Statistics)

  • Marilena Sibillo

    (University of Salerno, Dept. of Economics and Statistics)

Abstract

The paper focuses on a stochastic proportional hazard model depicting the evolution of the force of mortality; in particular the real data are plotted against a specific survival model by means of the stochastic process that describes their ratio. The predictive accuracy of the survival model is investigated, since, by means of the calibrated “ratio process”, its forecasting skills are assessed. A statistical analysis is developed in order to test the capacity the assumed survival model has to follow the real behavior of the observed data.

Suggested Citation

  • Emilia Di Lorenzo & Michele La Rocca & Albina Orlando & Cira Perna & Marilena Sibillo, 2014. "Empirical Evidences on Predictive Accuracy of Survival Models," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 87-90, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-05014-0_20
    DOI: 10.1007/978-3-319-05014-0_20
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