Modeling and forecasting U.S. mortality. (With discussion)

DOI10.1080/01621459.1992.10475265zbMATH Open1351.62186OpenAlexW1969498530MaRDI QIDQ104754FDOQ104754

Authors: Ronald D. Lee, Lawrence R. Carter, Ronald D. Lee, None 

Publication date: September 1992

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.1992.10475265

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zbMATH Keywords

forecastmortalitydemographylife expectancypopulationprojection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Mathematical geography and demography (91D20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

Cites Work

• Choice of function for mortality analysis: Effective forecasting depends on a minimum parameter representation
• Title not available (Why is that?)
• Some Applications of the Singular Decomposition of a Matrix

Cited In (only showing first 100 items - show all)

• Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
• A new inference strategy for general population mortality tables
• Parental bereavement: heterogeneous impacts of AIDS in Thailand
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• Addressing the life expectancy gap in pension policy
• De-risking strategy: longevity spread buy-in
• Modeling stochastic mortality with O-U type processes
• Stochastic forecasting of labor force participation rates.
• Life tables in actuarial models: from the deterministic setting to a Bayesian approach
• Grouped multivariate and functional time series forecasting: an application to annuity pricing
• Spatial patterns of mortality in the United States: a spatial filtering approach
• On the valuation of reverse mortgage insurance
• Longevity Greeks: what do insurers and capital market investors need to know?
• Constructing dynamic life tables with a single-factor model
• Bayesian value-at-risk backtesting: the case of annuity pricing
• Mortality forecasting using factor models: time-varying or time-invariant factor loadings?
• Assessing mortality inequality in the U.S.: what can be said about the future?
• Cause of death specific cohort effects in U.S. mortality
• Incorporating statistical clustering methods into mortality models to improve forecasting performances
• Macro longevity risk and the choice between annuity products: evidence from Denmark
• Longevity risk and capital markets: the 2019--20 update
• Mortality data correction in the absence of monthly fertility records
• Pooling mortality risk in eurozone state pension liabilities: an application of a Bayesian coherent multi-population cohort-based mortality model
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• Dynamic semi-parametric factor model for functional expectiles
• A quantitative comparison of stochastic mortality models on Italian population data
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• Selecting stochastic mortality models for the Italian population
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• Decompression of Period Old-Age Mortality: When Adjusted for Bias, the Variance in the Ages at Death Shows Compression
• Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
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• Prepayment risk in reverse mortgages: an intensity-governed surrender model
• Generalised additive dependency inflated models including aggregated covariates
• Testing the validity of kinship microsimulation
• A review and comparison of age-period-cohort models for cancer incidence
• Pricing \(q\)-forward contracts: an evaluation of estimation window and pricing method under different mortality models
• On Fitting generalized linear and non-linear models of mortality
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• Detecting common longevity trends by a multiple population approach
• Modeling period effects in multi-population mortality models: applications to Solvency II
• On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England
• A Bayesian multivariate risk-neutral method for pricing reverse mortgages
• Statistical inference for Lee-Carter mortality model and corresponding forecasts
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• A synthesis mortality model for the elderly
• The Lee-Carter model for forecasting mortality, revisited
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• Modelling life tables with advanced ages: an extreme value theory approach
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• On the valuation of reverse mortgages with regular tenure payments
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• Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
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• Rethinking age-period-cohort mortality trend models
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• A Bayesian non-parametric model for small population mortality
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• A stochastic model for mortality rate on italian data
• Lifetime asset allocation with idiosyncratic and systematic mortality risks
• Bias correction for time series factor models
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• A multivariate time series approach to projected life tables
• A common age effect model for the mortality of multiple populations
• A step-by-step guide to building two-population stochastic mortality models
• De-risking defined benefit plans

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