Multiple mortality modeling in Poisson Lee-Carter framework

DOI10.1080/03610926.2014.960580MaRDI QIDQ2807800zbMATH OpenOpenAlexFDO

Authors Valeria D'Amato, Steven Haberman, Gabriella Piscopo, Maria Russolillo, Lorenzo Trapani

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2014.960580

zbMATH Keywords

factor modelsLee-Carter modelmortality modelingserial and cross-sectional correlationsieve bootstrapvector autoregression

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Inference from stochastic processes and prediction (62M20) Reliability and life testing (62N05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to social sciences (62P25) Mathematical geography and demography (91D20)

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Cites work

• A Biometrics Invited Paper with Discussion: The Natural Variability of Vital Rates and Associated Statistics
• An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
• Computational framework for longevity risk management
• Dual modelling and select mortality
• Extending the Lee-Carter model: a three-way decomposition
• scientific article; zbMATH DE number 5713282 (Why is no real title available?)
• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
• Measuring Basis Risk in Longevity Hedges
• Modeling and forecasting U.S. mortality. (With discussion)
• Modelling dependent data for longevity projections
• Sieve bootstrap for time series
• The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts

Cited in

(6)

• Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard
• Extending the Lee-Carter model: a three-way decomposition
• Intrinsic objective Bayesian estimation of the mean of the Tweedie family
• Comparing mortality trends via Lee-Carter method in the framework of multidimensional data analysis
• Detecting common longevity trends by a multiple population approach
• Incorporating crossed classification credibility into the Lee-Carter model for multi-population mortality data

Describes a project that uses

Uses Software

• ElemStatLearn

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