A step-by-step guide to building two-population stochastic mortality models

DOI10.1016/j.insmatheco.2015.03.021zbMath1348.91164OpenAlexW2017859105MaRDI QIDQ492644

Johnny Siu-Hang Li, Rui Zhou, Mary R. Hardy

Publication date: 20 August 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.021

zbMATH Keywords

coherent mortality forecastingevaluation of mortality modelsindex-based longevity hedgespopulation basis riskselection of mortality models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• Human Mortality

Cites Work

• Modeling and Forecasting U.S. Mortality
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• Evaluating the goodness of fit of stochastic mortality models
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• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• The CBD Mortality Indexes: Modeling and Applications
• A General Procedure for Constructing Mortality Models
• Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II