Ensemble interval forecasts of mortality

DOI10.1080/03461238.2024.2444565MaRDI QIDQ6931694zbMATH OpenFDO

Authors Jackie Li, Jia Liu, Leonie Tickle

Publication date 10 September 2025

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2024.2444565

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites work

• A discussion of parameter and model uncertainty in insurance
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• Coherent forecasting of mortality rates: a sparse vector-autoregression approach
• Combining interval forecasts
• Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble
• Forecasting mortality rates with a coherent ensemble averaging approach
• Modeling and forecasting U.S. mortality. (With discussion)
• Mortality forecasting using stacked regression ensembles
• On stochastic mortality modeling
• Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
• Strictly Proper Scoring Rules, Prediction, and Estimation
• The Model Confidence Set
• Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk

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