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Empirical Evidence from the Three-Way LC Model

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Giuseppe Giordano

    (University of Salerno, Department of Economics and Statistics)

  • Steven Haberman

    (City University London, Cass Business School)

  • Maria Russolillo

    (University of Salerno, Department of Economics and Statistics)

Abstract

The three-way Lee-Carter (LC) model was proposed as an extension of the original LC model when a three-mode data structure is available. It provides an alternative for modelling mortality differentials. This variant of the LC model adds a subpopulation parameter that deals with different drifts in mortality. Making use of several tools of exploratory data analysis, it allows giving a new perspective to the demographic analysis supporting the analytical results with a geometrical interpretation and a graphical representation. When facing with a three-way data structure, several choices on data pre-treatment will affect the whole data modelling. The first step of three-way mortality data investigation should be addressed by exploring the different source of variations and highlighting the significant ones. In this contribution, we consider the three-way LC model investigated by means of a three-way analysis of variance with fixed effects, where the three main effects, the three two-way interactions and one three-way interaction are analyzed. Aim of the paper is to highlight the technical-applicative infrastructure behind the methodology.

Suggested Citation

  • Giuseppe Giordano & Steven Haberman & Maria Russolillo, 2018. "Empirical Evidence from the Three-Way LC Model," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 375-379, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_67
    DOI: 10.1007/978-3-319-89824-7_67
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