Search Results - subject:"lee's model"

Socioeconomic differentials in mortality : implications on index-based longevity hedges

Lyu, Pintao; Li, Johnny Siu-Hang; Zhou, Kenneth Q. - In: Scandinavian actuarial journal 2023 (2023) 4, pp. 359-387

Persistent link: https://www.econbiz.de/10014336393

Assessing the impact of the COVID-19 shock on a stochastic multi-population mortality model

Robben, Jens; Antonio, Katrien; Devriendt, Sander - In: Risks 10 (2022) 2, pp. 1-33

buckets. To be compliant with the design and calibration strategy of the Li and Lee model, we transform the weekly mortality …

Persistent link: https://www.econbiz.de/10013200917

Assessing the impact of the COVID-19 shock on a stochastic multi-population mortality model

Robben, Jens; Antonio, Katrien; Devriendt, Sander - In: Risks : open access journal 10 (2022) 2, pp. 1-33

buckets. To be compliant with the design and calibration strategy of the Li and Lee model, we transform the weekly mortality …

Persistent link: https://www.econbiz.de/10012805929

A BOOTSTRAP APPROACH TO TESTING FOR SYMMETRY IN THE GRANGER AND LEE ASYMMETRIC ERROR CORRECTION MODEL

DE-GRAFT, ACQUAH HENRY - In: Russian Journal of Agricultural and Socio-Economic Sciences 11 (2012) 3, pp. 33-36

bootstrap simulation indicate that the Granger and Lee model has low power in rejecting the hypothesis of symmetric adjustments … data generating process used in the application. With a small bootstrap sample and large noise level the Granger and Lee … model display low power in rejecting the hypothesis of symmetry. …

Persistent link: https://www.econbiz.de/10011222474

A generalized parametric selection model for non-normal data

Prieger, James E. - 2000

I develop a new approach for sample selection problems that allows parametric forms of any type to be chosen for both for the selection and the observed variables. The Generalized Parametric Selection (GPS) model can incorporate both duration and count data models, unlike previous parametric...

Persistent link: https://www.econbiz.de/10010318604

Continuous-Time Limits in the Generalized Ho-Lee Framework under the Forward Measure

Sommer, Daniel - University of Bonn, Germany - 1994

The forward measure in the discrete time Ho/Lee model is derived and passages to the continuous time limit are carried … short rate. Finally it is shown that the trinomial and quattronomial generalizations of the Ho/Lee model by Bühler and … Schulze are essentially equivalent to the Ho/Lee model as concernes their discrete time properties and their continuous time …

Persistent link: https://www.econbiz.de/10005032171