Multivariate time series modeling, estimation and prediction of mortalities

Ekheden, Erland; Hössjer, Ola

doi:10.1016/j.insmatheco.2015.09.013

Cited by 9 publications

(2 citation statements)

References 50 publications

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“…Markov process, compared with traditional methods, has a theoretical advantage in handling the transition probability of multiple states [22,23]. However, due to model complexity and insufficient data available, its development is limited or inappropriate assumptions based on time homogeneity [24][25][26].…”

Section: Introductionmentioning

confidence: 99%

Health Transition Probability and Long-Term Care Cost Estimation

Cui

Duan

Chang

et al. 2022

Mathematical Problems in Engineering

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The cost of long-term care (LTC) is one of the huge financial risks faced by the elderly and also is a significant challenge to the social security system. This article establishes a piecewise constant Markov model to estimate the dynamic health transition probability and based on actuarial theory to calculate the long-term care cost, in contrast to the static or nontransferable state hypotheses in traditional models. Using the Chinese Longitudinal Healthy Longevity Survey, this article found that the average cost of LTC for the elderly varies greatly due to gender and health conditions, the cost for women may increase by up to 75% compared to that for men, and the cost for unhealthy elderly may more than double compared to that for healthy elderly. Furthermore, if LTC is included in the medical insurance system, in theory, women's average pay price will be more than twice that of men.

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Section: Introductionmentioning

confidence: 99%

Health Transition Probability and Long-Term Care Cost Estimation

Cui

Duan

Chang

et al. 2022

Mathematical Problems in Engineering

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“…For example, the dynamic series data sets are unique cases, they usually contain several observable variables that exhibit long-range dependence or multifractal nature. Previous studies have demonstrated that turbulent flows, velocities, temperatures, stock markets, and concentration fields are embedded in the similar space as joint multifractal measures [1][2][3][4][5]. Reviewed previous literature, we found the autocorrelation and cross correlation functions (CCF) are useful for analyzing the joint behaviors of two stationary series whose behaviors may be related in some unspecified ways [6].…”

Section: Introductionmentioning

confidence: 99%

Predicting the Participation in Social Science under Expanding System by Using ARIMAX

Chang¹,

Chen²

2019

Proceedings of the 2019 2nd International Conference on Mathematics, Modeling and Simulation Technologies and Applications (MMS

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This study aims to predict the participation pattern related to the social science programs within a high participated higher education system. Taking the expanding higher education system in Taiwan as an example, we collected the series data with student numbers in social science programs and total student enrollment numbers by using the annual statistics report (1950 to 2017) from Ministry of Education. Considered the concurrent series did not fit the classical ARIMA (autoregressive integrated moving average) model, this study selected transfer function in terms of multivariate autoregressive integrated moving average (ARIMAX) models to deal with the target series. First, we applied the cross correlation function to check the relationships between the series. Second, we select the ARIMAX with transfer function to verify the fittest predicting model. The result reveals the selected ARIMAX(1,1,1) model works well for predicting the trend of social science participation in future. This study provides an example to tackle two series variables in ARIMAX process in higher education settings. The finding suggests useful information for related policy makers to renovating the social science programs.

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Analysis of the Stochasticity of Mortality Using Variance Decomposition

Ekheden

Hössjer

2014

EAA Series

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Multivariate time series modeling, estimation and prediction of mortalities

Cited by 9 publications

References 50 publications

Health Transition Probability and Long-Term Care Cost Estimation

Health Transition Probability and Long-Term Care Cost Estimation

Predicting the Participation in Social Science under Expanding System by Using ARIMAX

Analysis of the Stochasticity of Mortality Using Variance Decomposition

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