Multidimensional Lee-Carter model with switching mortality processes

DOI10.1016/J.INSMATHECO.2011.11.003MaRDI QIDQ2427829zbMATH OpenOpenAlexFDO

Authors Donatien Hainaut

Publication date 18 April 2012

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.11.003

zbMATH Keywords

mortalitylongevityLee-Carter

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 1396448 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Handbook of stochastic methods for physics, chemistry and natural sciences.
• Lee-Carter mortality forecasting with age-specific enhancement.
• Modeling and management of mortality risk: a review
• Mortality regimes and pricing
• On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
• On the pricing of longevity-linked securities
• Point processes and queues. Martingale dynamics
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Projecting Mortality Trends
• Stochastic mortality under measure changes
• Survival models in a dynamic context: a survey
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications

Cited in

(17)

• Longevity Risk and Capital Markets: The 2017–2018 Update
• Editorial: Longevity risk and capital markets: the 2013--14 update
• A neural-network analyzer for mortality forecast
• Stochastic mortality under measure changes
• Longevity risk and capital markets: the 2015--16 update
• Longevity risk and capital markets: the 2019--20 update
• Modeling trend processes in parametric mortality models
• Mortality regimes and longevity risk in a life annuity portfolio
• Longevity Risk and Capital Markets: The 2012–2013 Update
• The impact of multiple structural changes on mortality predictions
• Detecting common longevity trends by a multiple population approach
• Incorporating structural changes in mortality improvements for mortality forecasting
• Mortality regimes and pricing
• On the valuation of reverse mortgage insurance
• It takes two: why mortality trend modeling is more than modeling one mortality trend
• Pricing and securitization of multi-country longevity risk with mortality dependence
• Measuring mortality heterogeneity with multi-state models and interval-censored data

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