Callot, Laurent; Haldrup, Niels; Lamb, Malene Kallestrup - School of Economics and Management, University of Aarhus - 2014
The Lee and Carter (1992) model assumes that the deterministic and stochastic time series dynamics loads with identical … dynamics and we suggest to separate the deterministic and stochastic time series components at the benefit of improved fit and …)-factor model where one factor is deterministic and the other factors are stochastic. This feature generalizes to the range of …