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)

• 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
• Rethinking age-period-cohort mortality trend models
• 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
• Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
• 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
• Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
• The choice of sample size for mortality forecasting: a Bayesian learning approach
• Modeling trends in cohort survival probabilities
• Robustness and convergence in the Lee-Carter model with cohort effects
• The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
• Mortality Change and Forecasting
• A Cautionary Note on Natural Hedging of Longevity Risk
• A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages
• 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 dynamic parameterization modeling for the age-period-cohort mortality
• A recursive approach to mortality-linked derivative pricing
• Modeling cause-of-death mortality using hierarchical Archimedean copula
• An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation
• Dynamic mortality factor model with conditional heteroskedasticity
• Evaluating the advanced life deferred annuity -- an annuity people might actually buy
• Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
• Longevity bond premiums: the extreme value approach and risk cubic pricing
• Longevity risk in pension annuities with exchange options: the effect of product design
• Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
• Age-coherent extensions of the Lee–Carter model
• The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts
• An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
• Multi-population mortality modeling with Lévy processes
• Identification and forecasting in mortality models
• Assessing the cost of capital for longevity risk
• Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds
• Approaches and Experiences in Projecting Mortality Patterns for the Oldest-Old
• Estimating the term structure of mortality
• Securitization of catastrophe mortality risks
• A linear algebraic method for pricing temporary life annuities and insurance policies
• Parametric survival densities from phase-type models
• Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
• Modeling mortality and pricing life annuities with Lévy processes
• DYNAMIC PRINCIPAL COMPONENT REGRESSION: APPLICATION TO AGE-SPECIFIC MORTALITY FORECASTING
• A Multi-population Approach to Forecasting All-Cause Mortality Using Cause-of-Death Mortality Data
• An Analysis of Period and Cohort Mortality Shocks in International Data
• Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing
• Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies
• Improving HMD Mortality Estimates with HFD Fertility Data
• Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools
• Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach
• On the Structure and Classification of Mortality Models
• Rising Inequality in Life Expectancy by Socioeconomic Status
• Understanding Patterns of Mortality Homogeneity and Heterogeneity Across Countries and Their Role in Modeling Mortality Dynamics and Hedging Longevity Risk
• Using Graduation to Modify the Estimation of Lee–Carter Model for Small Populations
• The impact of longevity and investment risk on a portfolio of life insurance liabilities
• Hedging Mortality/Longevity Risks for Multiple Years
• Incorporating structural changes in mortality improvements for mortality forecasting
• Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
• Quickest drift change detection in Lévy-type force of mortality model
• NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES
• Trends in Canadian Mortality by Pension Level: Evidence from the CPP and QPP
• Time-consistent and market-consistent actuarial valuation of the participating pension contract
• The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multistate Latent Factor Model for Transition Rates
• The Impact of Disability Insurance on a Portfolio of Life Insurances
• Coherent Modeling and Forecasting of Mortality Patterns for Subpopulations Using Multiway Analysis of Compositions: An Application to Canadian Provinces and Territories
• DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY
• PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE
• NATURAL HEDGING IN LONG-TERM CARE INSURANCE
• Modeling and approximated procedure life insurance bond by the stochastic mortality and short interest rate
• Stochastic life table forecasting: a time-simultaneous fan chart application

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