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

Recommendations

• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• Forecasting mortality rates via density ratio modeling
• Forecasting longevity gains using a seemingly unrelated time series model
• Mortality Change and Forecasting
• Modeling and forecasting mortality rates

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)

• On the Structure and Classification of Mortality Models
• Rising Inequality in Life Expectancy by Socioeconomic Status
• The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
• 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
• Time-consistent and market-consistent actuarial valuation of the participating pension contract
• 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
• Forecasting multiple functional time series in a group structure: an application to mortality
• PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE
• 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
• Accounting for smoking in forecasting mortality and life expectancy
• Forecasting mortality with international linkages: a global vector-autoregression approach
• Risk allocation through shapley decompositions, with applications to variable annuities
• A single factor model for constructing dynamic life tables
• Bayesian nonparametric dynamic hazard rates in evolutionary life tables
• A Hidden Markov Approach to Disability Insurance
• Forecasting Mortality Change
• Modeling longevity risk with generalized dynamic factor models and vine-copulae
• Coherent forecasting of mortality rates: a sparse vector-autoregression approach
• Smoothing Poisson common factor model for projecting mortality jointly for both sexes
• Dynamic hedging of longevity risk: the effect of trading frequency
• The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates
• Natural hedging in long-term care insurance
• Dynamic principal component regression: application to age-specific mortality forecasting
• Natural hedges with immunization strategies of mortality and interest rates
• Mortality risk management under the factor copula framework -- with applications to insurance policy pools
• Understanding patterns of mortality homogeneity and heterogeneity across countries and their role in modeling mortality dynamics and hedging longevity risk
• Improving HMD mortality estimates with HFD fertility data
• An analysis of period and cohort mortality shocks in international data
• A multi-population approach to forecasting all-cause mortality using cause-of-death mortality data
• Using graduation to modify the estimation of Lee-Carter model for small populations
• Forward mortality rates in discrete time. I: Calibration and securities pricing
• Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
• Mortality forecasts for long-term care subpopulations with longevity risk: a Bayesian approach
• Trends in Canadian mortality by pension level: evidence from the CPP and QPP
• Inference for the Lee-Carter model with an AR(2) process
• A random forest algorithm to improve the Lee-Carter mortality forecasting: impact on q-forward
• Longevity risk and economic growth in sub-populations: evidence from Italy
• Reverse mortgages through artificial intelligence: new opportunities for the actuaries
• Projections of pension benefits in supplementary pension saving scheme in Slovakia
• A model-point approach to indifference pricing of life insurance portfolios with dependent lives
• A general framework for analysing the mortality experience of a large portfolio of lives: with an application to the UK universities superannuation scheme
• Socio-economic differentiation in experienced mortality modelling and its pricing implications
• Drivers of mortality dynamics: identifying age/period/cohort components of historical U.S. mortality improvements
• Volterra mortality model: actuarial valuation and risk management with long-range dependence
• Green nested simulation via likelihood ratio: applications to longevity risk management
• Model mortality rates using property and casualty insurance reserving methods
• Modeling pandemic mortality risk and its application to mortality-linked security pricing
• Stochastic mortality dynamics driven by mixed fractional Brownian motion
• Rotation in age patterns of mortality decline: statistical evidence and modeling
• Discussion on: ``Exchangeable mortality projection
• Optimal retirement products under subjective mortality beliefs
• The Gompertz-Makeham longevity model
• Rotation of the age pattern of mortality improvements in the European union
• Application of Relational Models in Mortality Immunization
• 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

This page was built for publication: Modeling and forecasting U.S. mortality. (With discussion)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q104754)