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)

• 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
• Modelling mortality dependence with regime-switching copulas
• Bias-corrected inference for a modified Lee-Carter mortality model
• A cautionary note on natural hedging of longevity risk
• 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
• Multivariate long-memory cohort mortality models
• A synthesis mortality model for the elderly
• The Lee-Carter model for forecasting mortality, revisited
• Securitization of longevity risk in reverse mortgages
• Age-coherent extensions of the Lee-Carter model
• 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
• Threshold life tables and their applications
• 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
• 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
• 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
• Market pricing of longevity-linked securities
• 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 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
• 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
• 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
• 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
• 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
• 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

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