Estimating the term structure of mortality
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Recommendations
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- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- A parameterized approach to modeling and forecasting mortality
Cites work
- scientific article; zbMATH DE number 1001734 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Lee-Carter mortality forecasting with age-specific enhancement.
- Modeling and forecasting U.S. mortality. (With discussion)
- On the forecasting of mortality reduction factors
- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
- Time series analysis by state space methods
Cited in
(24)- Longevity Risk and Capital Markets: The 2017–2018 Update
- Longevity risk and capital markets: the 2008-2009 update
- Editorial: Longevity risk and capital markets: the 2013--14 update
- Longevity risk and capital markets: the 2015--16 update
- Mortality risk modeling: applications to insurance securitization
- Dynamic mortality factor model with conditional heteroskedasticity
- Longevity risk and capital markets: the 2019--20 update
- Modeling trend processes in parametric mortality models
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
- The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
- On the forecasting of mortality reduction factors
- Longevity risk in portfolios of pension annuities
- Incorporating the Bühlmann credibility into mortality models to improve forecasting performances
- Stochastic Mortality: The Impact on Target Capital
- Explaining Young mortality
- On the mortality/longevity risk hedging with mortality immunization
- A Bühlmann credibility approach to modeling mortality rates
- Stochastic mortality model in a state-space framework
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans
- It takes two: why mortality trend modeling is more than modeling one mortality trend
- Multidimensional Lee-Carter model with switching mortality processes
- Modeling and forecasting duration-dependent mortality rates
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