Longevity Risk Modeling with the Consumer Price Index

DOI10.1080/10920277.2023.2242910MaRDI QIDQ6640254zbMATH OpenFDO

Authors Tim J. Boonen

Publication date 18 November 2024

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2023.2242910

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Mathematical geography and demography (91D20)

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Cites work

• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• A multi-population approach to forecasting all-cause mortality using cause-of-death mortality data
• Bias-corrected inference for a modified Lee-Carter mortality model
• Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating the number of change-points via Schwarz' criterion
• Explaining Young mortality
• Extending Lee–Carter Mortality Forecasting
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• Identification and forecasting in mortality models
• Identification of the age-period-cohort model and the extended chain-ladder model
• Inference pitfalls in Lee-Carter model for forecasting mortality
• Longevity risk and economic growth in sub-populations: evidence from Italy
• Modeling and forecasting U.S. mortality. (With discussion)
• Mortality effects of economic fluctuations in selected eurozone countries
• Statistical inference for Lee-Carter mortality model and corresponding forecasts
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• Testing and dating of structural changes in practice
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The choice of sample size for mortality forecasting: a Bayesian learning approach
• The impact of multiple structural changes on mortality predictions
• The slowdown in mortality improvement rates 2011--2017: a multi-country analysis

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