Multi-population mortality modelling: a Bayesian hierarchical approach
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Authors in this paper do cope with modelling of joint population mortality models. The significance of such a model is the obvious motivation for the paper, since life insurance branch is always a question of risk management. The components of the joint time -series, which are tested are logarithmic. This fact provides a flexibility in handling, since the time-series is jointly `linearized'. An interesting point of the paper is that estimations of the parameters are proved to be coherent.
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Cited in
(5)- Multi-population mortality modeling with Lévy processes
- Bayesian joint modelling of life expectancy and healthy life expectancy and valuation of retirement village contract
- Applying Markov-switching Bayesian vector autoregression to an age-partitioned Lee-Carter mortality model
- Uncertainty-aware Bayesian mortality prediction: a comparative study of inference methods for U.S. county-level relative mortality
- A hierarchical copula-based sparse VECM for cause-of-death mortality rates: modeling, forecasting, and connectedness
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