Bootstrapping the Poisson log-bilinear model for mortality forecasting
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age-sex-specific mortalitybootstrapconfidence intervalsmortality forecastingPoisson regressionprojected life tables
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Cites work
- A Biometrics Invited Paper with Discussion: The Natural Variability of Vital Rates and Associated Statistics
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
- Lee-Carter mortality forecasting with age-specific enhancement.
- Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
Cited in
(70)- Bayesian mortality forecasting with overdispersion
- A class of random field memory models for mortality forecasting
- Longevity risk and capital markets: the 2015--16 update
- Small population bias and sampling effects in stochastic mortality modelling
- Addressing the life expectancy gap in pension policy
- Modeling and pricing longevity derivatives using Skellam distribution
- Longevity risk and capital markets: the 2019--20 update
- De-risking long-term care insurance
- Green nested simulation via likelihood ratio: applications to longevity risk management
- Selecting stochastic mortality models for the Italian population
- Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
- Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type
- Confidence estimation via the parametric bootstrap in logistic joinpoint regression
- Modelling dependent data for longevity projections
- Modelling and forecasting mortality in Spain
- Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
- Parametric mortality indexes: from index construction to hedging strategies
- It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
- Efficient use of data for LSTM mortality forecasting
- Understanding, modelling and managing longevity risk: key issues and main challenges
- Semi-parametric accelerated hazard relational models with applications to mortality projections
- Pricing reverse mortgages in Spain
- The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts
- Smoothing Poisson common factor model for projecting mortality jointly for both sexes
- A comparative study of two-population models for the assessment of basis risk in longevity hedges
- Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models
- Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
- The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
- Robustness and convergence in the Lee-Carter model with cohort effects
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Longevity Greeks: what do insurers and capital market investors need to know?
- Market pricing of longevity-linked securities
- scientific article; zbMATH DE number 7387617 (Why is no real title available?)
- Pension plan valuation and mortality projection: a case study with mortality data
- Threshold life tables and their applications
- Life insurance mathematics with random life tables
- Bootstrap techniques for mortality models
- The Lee-Carter quantile mortality model
- A comparison of risk transfer strategies for a portfolio of life annuities based on RORAC
- Multivariate long-memory cohort mortality models
- Using parametric bootstrap to introduce and manage uncertainty: replicated loaded insurance life tables
- Stochastic mortality modeling: key drivers and dependent residuals
- Longevity and adjustment in pension annuities, with application to Finland
- Association and heterogeneity of insured lifetimes in the Lee–Carter framework
- Natural hedging in long-term care insurance
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
- Mortality, longevity and experiments with the Lee-Carter model
- Mortality Improvement Rates: Modeling, Parameter Uncertainty, and Robustness
- A Neural Approach to Improve the Lee-Carter Mortality Density Forecasts
- Intergenerational actuarial fairness when longevity increases: amending the retirement age
- Distribution of the random future life expectancies in log-bilinear mortality projection models
- On stochastic mortality modeling
- 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
- On a delay stochastic system with discrete diffusion modeling life tables
- Fast estimation of the Renshaw-Haberman model and its variants
- The Impact of Longevity Annuity Provision on Retirement Income Planning for Canadians—A Modified General Endogenous Grid Method
- The neural network Lee-Carter model with parameter uncertainty: the case of Italy
- Mortality forecasting in geographical space and time
- Forecast mortality rates with copula-based approaches: novel evidence from integrated reconciliation
- Mortality models based on key mortality rates
- Computational framework for longevity risk management
- Life anuities with stochastic survival probabilities: A review
- Measurement of longevity risk using bootstrapping for Lee-Carter and generalised linear Poisson models of mortality
- Fuzzy formulation of the Lee-Carter model for mortality forecasting
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
- Multivariate time series modeling, estimation and prediction of mortalities
- Longevity risk in portfolios of pension annuities
- On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
- Comonotonic approximations to quantiles of life annuity conditional expected present value
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