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
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• Stochastic forecasting of labor force participation rates.
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• 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?
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• Longevity risk and capital markets: the 2019--20 update
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• Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
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• Statistical emulators for pricing and hedging longevity risk products
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• On the robustness of longevity risk pricing
• Valuation of contingent claims with mortality and interest rate risks

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