题目: Extensions to the Bayesian Lee-Carter model, allowing for change points.

主讲人: Prof. Udi Makov

Director, Actuarial Research Center,

University of Haifa, Israel

讲座内容:

The classical Lee-Carter (LC) mortality projection model is probably the most commonly studied model in the literature and the most prevalent model applied for assessing longevity risks. The talk, which will focus on extensions to the Bayesian Poisson LC model, will cover the following points:

· Introducing the Bayesian Poisson LC model.

· Introducing a random level-shift to allow change points in the time series portion of the Bayesian Poisson LC model.

· Introducing a random walk with drifts to the time series portion of the Bayesian Poisson LC model.

· Introducing a random walk with a time depended drift to allow change points in the time series portion of the Bayesian Poisson LC model.

· A numerical comparison of the above 4 models, based on real historical mortality data.

时间：2016年12月22日(星期四)上午10:00-12:00

地点：学术会堂702 (北楼)

欢迎各位老师同学参加

(责任编辑：xue)