Mortality modeling: A comparison of the classic Lee-Carter model and the permanent-jump Lee-Carter model during extreme events

Mortality modeling has become increasingly crucial for insurance companies. The importance of developing a model that can predict the mortality pattern with a high precision is even more severe during extreme events, such as the pandemic. During these events, a sudden increase in the mortality rates occurs and having predicted these jumps is of immense importance especially for financial companies.In this article, we fit two mortality models on the Canadian mortality data, the classic Lee-Carter model and the modified Lee-Carter model with the inclusion of the permanent-jumps and compare the models.

کلیدواژه ها:

Mortality modeling ، predict ، Lee-Carter ، jumps ، pandemic