Modeling and forecasting duration-dependent mortality rates

DOI10.1016/J.CSDA.2014.09.017MaRDI QIDQ1623772zbMATH OpenOpenAlexFDO

Authors Marcus C. Christiansen, Andreas Niemeyer, Lucia Teigiszerová

Publication date 23 November 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2014.09.017

zbMATH Keywords

disability insuranceduration dependenceLee-Carter modelLexis diagramstochastic mortality

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cites work

• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Extending the Lee-Carter model: a three-way decomposition
• scientific article; zbMATH DE number 5522381 (Why is no real title available?)
• Model Selection and Multimodel Inference
• Modeling and forecasting U.S. mortality. (With discussion)
• Modelling the recent time trends in UK permanent health insurance recovery, mortality and claim inception transition intensities
• Neue Rechnungsgrundlagen für die BerufsunfÄhigkeitsversicherung DAV1997
• Robust forecasting of mortality and fertility rates: a functional data approach
• Semiparametric analysis of clustered interval-censored survival data with a cure fraction
• The actuarial treatment of the disability risk in Germany, Austria and Switzerland
• The mortality of the Italian population: smoothing techniques on the Lee-Carter model
• The Solvency II square-root formula for systematic biometric risk

Cited in

(21)

• A parameterized approach to modeling and forecasting mortality
• Gompertz law revisited: forecasting mortality with a multi-factor exponential model
• In-sample forecasting applied to reserving and mesothelioma mortality
• Modeling and forecasting mortality rates
• Mortality surface by means of continuous time cohort models
• Modelling and projecting mortality improvement rates using a cohort perspective
• Mortality Projection Based on the Wang Transform
• Integral and differential equations for the moments of multistate models in health insurance
• Parameter risk in time-series mortality forecasts
• Modeling mortality at old age with time-varying parameters
• Forecasting Death Rates Using Exogenous Determinants
• Modelling mortality by continuous benefit amount
• TREE-BASED MACHINE LEARNING METHODS FOR MODELING AND FORECASTING MORTALITY
• Forecasting mortality rates with a general stochastic mortality trend model
• scientific article; zbMATH DE number 7295028 (Why is no real title available?)
• A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE
• The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates
• scientific article; zbMATH DE number 5208595 (Why is no real title available?)
• Forecasting life expectancy: evidence from a new survival function
• Identification and forecasting in mortality models
• Estimating the term structure of mortality

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