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
• Parental bereavement: heterogeneous impacts of AIDS in Thailand
• Corrective factors for longevity projections in a dynamic context
• 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
• Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers
• 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
• Recent declines in life expectancy: implication on longevity risk hedging
• Dynamic semi-parametric factor model for functional expectiles
• A quantitative comparison of stochastic mortality models on Italian population data
• Mortality forecasting using stacked regression ensembles
• Selecting stochastic mortality models for the Italian population
• Hierarchical Bayesian modeling of multi-country mortality rates
• Title not available (Why is that?)
• A more meaningful parameterization of the Lee-Carter model
• Forecasting mortality rate improvements with a high-dimensional VAR
• Pitfalls and merits of cointegration-based mortality models
• Inference pitfalls in Lee-Carter model for forecasting mortality
• The valuation of no-negative equity guarantees and equity release mortgages
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• Characterization of between-group inequality of longevity in European union countries
• Decompression of Period Old-Age Mortality: When Adjusted for Bias, the Variance in the Ages at Death Shows Compression
• Volterra mortality model: actuarial valuation and risk management with long-range dependence
• A NEW INFERENCE STRATEGY FOR GENERAL POPULATION MORTALITY TABLES
• Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
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• Semi-parametric extensions of the Cairns-Blake-Dowd model: a one-dimensional kernel smoothing approach
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• Forecasting the old‐age dependency ratio to determine a sustainable pension age
• On the mean value parametrization of natural exponential families -- a revisited review
• An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
• Do actuaries believe in longevity deceleration?
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• Pension risk management with funding and buyout options
• Small population bias and sampling effects in stochastic mortality modelling
• A semiparametric panel approach to mortality modeling
• Explaining Young mortality
• It takes two: why mortality trend modeling is more than modeling one mortality trend
• Prepayment risk in reverse mortgages: an intensity-governed surrender model
• Generalised additive dependency inflated models including aggregated covariates
• SMOOTHING POISSON COMMON FACTOR MODEL FOR PROJECTING MORTALITY JOINTLY FOR BOTH SEXES
• Testing the validity of kinship microsimulation
• A review and comparison of age-period-cohort models for cancer incidence
• Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?
• Threshold Life Tables and Their Applications
• A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates
• Modelling life tables with advanced ages: an extreme value theory approach
• Consistent dynamic affine mortality models for longevity risk applications
• On the valuation of reverse mortgages with regular tenure payments
• Human capital formation and macroeconomic performance in an ageing small open economy
• Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
• On the effectiveness of natural hedging for insurance companies and pension plans
• Pricing of long dated equity-linked life insurance contracts
• An age-at-death distribution approach to forecast cohort mortality
• The shape of things to come: using models with physiological structure to predict mortality trajectories
• Multi-population mortality models: fitting, forecasting and comparisons
• On fitting generalized linear and non-linear models of mortality
• Pricingq-forward contracts: an evaluation of estimation window and pricing method under different mortality models
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• The impact of multiple structural changes on mortality predictions
• A Bayesian non-parametric model for small population mortality
• A Synthesis Mortality Model for the Elderly
• Securitization of Longevity Risk in Reverse Mortgages
• The Lee-Carter Model for Forecasting Mortality, Revisited
• Continuous-time multi-cohort mortality modelling with affine processes
• 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
• MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS
• Statistical Inference for Lee-Carter Mortality Model and Corresponding Forecasts
• Market pricing of longevity-linked securities
• BIAS-CORRECTED INFERENCE FOR A MODIFIED LEE–CARTER MORTALITY MODEL
• MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS
• 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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• Multi-population mortality models: a factor copula approach
• Prospective mortality tables: taking heterogeneity into account
• Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk

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