Inference pitfalls in Lee-Carter model for forecasting mortality

DOI10.1016/J.INSMATHECO.2016.05.016MaRDI QIDQ2520431zbMATH OpenOpenAlexFDO

Authors Xuan Leng, Liang Peng

Publication date 13 December 2016

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2016.05.016

zbMATH Keywords

Lee-Carter modelmortalityconsistencynonstationaryAR processmortality index

Mathematics Subject Classification ID

Mathematical geography and demography (91D20)

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Cites work

• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Asymptotic inference for nearly nonstationary AR(1) processes
• Detecting common longevity trends by a multiple population approach
• Downside risk management of a defined benefit plan considering longevity basis risk
• Measurement of longevity risk using bootstrapping for Lee-Carter and generalised linear Poisson models of mortality
• Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
• Modeling and forecasting U.S. mortality. (With discussion)
• Modelling dependent data for longevity projections
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Pricing and securitization of multi-country longevity risk with mortality dependence
• Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
• Robust regularized singular value decomposition with application to mortality data
• Time Series Regression with a Unit Root
• Time-consistent mean-variance hedging of longevity risk: effect of cointegration

Cited in

(15)

• Bias-corrected inference for a modified Lee-Carter mortality model
• Statistical inference for Lee-Carter mortality model and corresponding forecasts
• On the structural change of the Lee-Carter model and its actuarial application
• Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type
• Survival energy models for mortality prediction and future prospects
• Constructing dynamic life tables with a single-factor model
• Coherent forecasting of mortality rates: a sparse vector-autoregression approach
• Testing for a unit root in Lee-Carter mortality model
• Longevity risk and capital markets: the 2019--20 update
• Inference for the Lee-Carter model with an AR(2) process
• Pitfalls and merits of cointegration-based mortality models
• Longevity Risk Modeling with the Consumer Price Index
• Modelling mortality: A bayesian factor-augmented var (favar) approach
• Modeling mortality with a Bayesian vector autoregression
• Why does a human die? A structural approach to cohort-wise mortality prediction under survival energy hypothesis

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