Predictive modeling of threshold life tables

DOI10.1080/10920277.2019.1633929MaRDI QIDQ5139820zbMATH OpenOpenAlexFDO

Authors

Publication date 11 December 2020

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

Full work available at URL https://doi.org/10.1080/10920277.2019.1633929

zbMATH Keywords

Bayesian inferenceGompertz lawlife tablelongevitymaximum likelihood estimateMCMC algorithmthreshold life table

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

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Cites work

• A hybrid Pareto model for asymmetric fat-tailed data: the univariate case
• A semiparametric Bayesian approach to extreme value estimation
• Adaptive Bayes estimators for parameters of the Gompertz survival model
• An extreme value analysis of advanced age mortality data
• Bayesian analysis of extreme events with threshold estimation
• Bayesian Analysis of Mortality Data
• Bayesian estimation of the expected time of first arrival past a truncated time T: the case of NHPP with power law intensity
• Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death
• Longevity bond premiums: the extreme value approach and risk cubic pricing
• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
• Quantitative risk management. Concepts, techniques and tools
• Threshold life tables and their applications

Cited in

(6)

• Analysis of oldest-old mortality: lifetables revisited
• The survival distribution beyond a particular age
• Threshold life tables and their applications
• Modeling of health and mortality functions based on data for the population of Ukraine
• Bayesian joint modelling of life expectancy and healthy life expectancy and valuation of retirement village contract
• Modelling life tables with advanced ages: an extreme value theory approach

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Uses Software

• QRM

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