Lee-Carter mortality forecasting with age-specific enhancement.
From MaRDI portal
Publication:1423357
DOI10.1016/S0167-6687(03)00138-0zbMath1103.91371MaRDI QIDQ1423357
Steven Haberman, Arthur E. Renshaw
Publication date: 14 February 2004
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Mathematical geography and demography (91D20)
Related Items (only showing first 100 items - show all)
Basis risk modelling: a cointegration-based approach ⋮ Sex-specific mortality forecasting for UK countries: a coherent approach ⋮ The modern tontine. An innovative instrument for longevity risk management in an aging society ⋮ Exchangeable mortality projection ⋮ Characterization of between-group inequality of longevity in European union countries ⋮ Grouped multivariate and functional time series forecasting: an application to annuity pricing ⋮ Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models ⋮ Bayesian nonparametric dynamic hazard rates in evolutionary life tables ⋮ Life anuities with stochastic survival probabilities: A review ⋮ A comparison of models for dynamic life tables. Application to mortality data from the Valencia region (Spain) ⋮ A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS ⋮ Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach ⋮ Fuzzy formulation of the Lee-Carter model for mortality forecasting ⋮ A subordinated Markov model for stochastic mortality ⋮ A proposition of generalized stochastic Milevsky–Promislov mortality models ⋮ A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST ⋮ Volterra mortality model: actuarial valuation and risk management with long-range dependence ⋮ Pricing reverse mortgages in Spain ⋮ Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality ⋮ Stochastic mortality dynamics driven by mixed fractional Brownian motion ⋮ The impact of multiple structural changes on mortality predictions ⋮ A partial internal model for longevity risk ⋮ Rethinking age-period-cohort mortality trend models ⋮ Stochastic modelling of mortality and financial markets ⋮ On the valuation of reverse mortgage insurance ⋮ Bayesian Poisson log-bilinear mortality projections ⋮ Analysis of Finnish and Swedish mortality data with stochastic mortality models ⋮ Multivariate time series modeling, estimation and prediction of mortalities ⋮ Parametric mortality improvement rate modelling and projecting ⋮ Explaining Young mortality ⋮ Multidimensional Lee-Carter model with switching mortality processes ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Valuation of longevity-linked life annuities ⋮ Bayesian Poisson log-bilinear models for mortality projections with multiple populations ⋮ A dynamic parameterization modeling for the age-period-cohort mortality ⋮ A recursive approach to mortality-linked derivative pricing ⋮ The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts ⋮ Unnamed Item ⋮ A Poisson log-bilinear regression approach to the construction of projected lifetables. ⋮ Small population bias and sampling effects in stochastic mortality modelling ⋮ The mortality of the Italian population: smoothing techniques on the Lee-Carter model ⋮ Spatial patterns of mortality in the United States: a spatial filtering approach ⋮ Pricing and securitization of multi-country longevity risk with mortality dependence ⋮ Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data ⋮ A feasible natural hedging strategy for insurance companies ⋮ On the valuation of reverse mortgages with regular tenure payments ⋮ Mortality surface by means of continuous time cohort models ⋮ Modelling and projecting mortality improvement rates using a cohort perspective ⋮ Modelling dependent data for longevity projections ⋮ On age-period-cohort parametric mortality rate projections ⋮ On stochastic mortality modeling ⋮ Longevity risk in pension annuities with exchange options: the effect of product design ⋮ On the optimal product mix in life insurance companies using conditional value at risk ⋮ Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models ⋮ Constrained smoothing \(B\)-splines for the term structure of interest rates ⋮ An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation ⋮ Assessing the cost of capital for longevity risk ⋮ WAVELET-BASED FEATURE EXTRACTION FOR MORTALITY PROJECTION ⋮ Separable factor analysis with applications to mortality data ⋮ Pricing longevity risk with the parametric bootstrap: a maximum entropy approach ⋮ A geostatistical approach for dynamic life tables: the effect of mortality on remaining lifetime and annuities ⋮ Stochastic life table forecasting: a time-simultaneous fan chart application ⋮ Quadratic stochastic intensity and prospective mortality tables ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Prospective mortality tables: taking heterogeneity into account ⋮ Modeling mortality and pricing life annuities with Lévy processes ⋮ A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE ⋮ De-risking strategy: longevity spread buy-in ⋮ WHY DOES A HUMAN DIE? A STRUCTURAL APPROACH TO COHORT-WISE MORTALITY PREDICTION UNDER SURVIVAL ENERGY HYPOTHESIS ⋮ Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap ⋮ Modelling and forecasting mortality in Spain ⋮ Survival models in a dynamic context: a survey ⋮ Constructing dynamic life tables with a single-factor model ⋮ Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval ⋮ GAUSSIAN PROCESS MODELS FOR MORTALITY RATES AND IMPROVEMENT FACTORS ⋮ Mortality forecasting using factor models: time-varying or time-invariant factor loadings? ⋮ Estimating the term structure of mortality ⋮ Longevity risk in portfolios of pension annuities ⋮ On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling ⋮ Incorporating statistical clustering methods into mortality models to improve forecasting performances ⋮ Addressing the life expectancy gap in pension policy ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Coherent mortality forecasting with generalized linear models: a modified time-transformation approach ⋮ A parameterized approach to modeling and forecasting mortality ⋮ Time-series forecasting of mortality rates using deep learning ⋮ Modelling and management of mortality risk: a review ⋮ Computational framework for longevity risk management ⋮ Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting ⋮ Modelling residuals dependence in dynamic life tables: a geostatistical approach ⋮ Trends in Canadian Mortality by Pension Level: Evidence from the CPP and QPP ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools ⋮ On the Structure and Classification of Mortality Models ⋮ An Efficient Method for Mitigating Longevity Value-at-Risk ⋮ Hedging Longevity Risk When Interest Rates are Uncertain ⋮ Clustering and forecasting multiple functional time series ⋮ Forecasting mortality in subpopulations using Lee-Carter type models: a comparison ⋮ A cautionary note on pricing longevity index swaps ⋮ Pension Plan Valuation and Mortality Projection ⋮ A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
Cites Work
- Unnamed Item
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- On the forecasting of mortality reduction factors
- Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
This page was built for publication: Lee-Carter mortality forecasting with age-specific enhancement.
