Home > Search Results: Plotnikova, Valeriya
Search:
Search Tips :: Advanced Search
Search collections:
Sort by: Display results: Output format:
National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Quantifying Mortality and Longevity Risk by Means of Stochastic Models
 Plotnikova, Valeriya ; Mazurová, Lucie (advisor) ; Kříž, Pavel (referee)
In this thesis we investigate the structure of the generalized age-period-cohort mortality model and we comment on the key components of its structure. As an example of the generalized age- period-cohort model we take a closer look at the widely used Lee-Carter mortality model. We further construct mortality models for the Czech male and female populations, by using a certain procedure that involves expert judgment. To project mortality rates we choose the most suitable time series processes for the selected parameters in the model. Finally, we describe and implement the value at risk framework for the longevity risk, which is one of the possible applications where the obtained mortality models can be used in practice. In particular, we investigate how much a temporary life annuity liability might change based on new information over the course of one year.
Detailed record
Estimator averaging
 Plotnikova, Valeriya ; Dvořák, Jiří (advisor) ; Čoupek, Petr (referee)
We investigate general procedure to combine several estimators of the same real parameter in the parametric model. Considering weighted average of initial estimator, where weights are constrained to the sum of one, we obtain the final combined estimator. In that framework, the optimal vector of weights minimises the mean square error, providing better estimator of parameter. Combined es- timator will be computed as the product of vector of weights and the vector of initial estimators of the parameter. This method is frequently used in numerous problems of modern statistics like forecast averaging for time series.
Detailed record

Interested in being notified about new results for this query?
Subscribe to the RSS feed.
Digital Repository :: Search :: Submit :: Personalize :: Help
Powered by Invenio v1.1.2
Maintained by admin.invenio@techlib.cz
This site is also available in the following languages:
Česky  English