A Poisson log-bilinear regression approach to the construction of projected lifetables.
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- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
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Cited in
(only showing first 100 items - show all)- A group regularisation approach for constructing generalised age-period-cohort mortality projection models
- Pricing and securitization of multi-country longevity risk with mortality dependence
- Physiological age, health costs, and their interrelation
- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
- Bayesian population projections for the united nations
- Closing and projecting life tables using log-linear models
- A general procedure for constructing mortality models
- Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
- Bayesian Poisson log-bilinear models for mortality projections with multiple populations
- Longevity hedge effectiveness: a decomposition
- The GLM framework of the Lee–Carter model: a multi-country study
- Expressive mortality models through Gaussian process kernels
- On the Structure and Classification of Mortality Models
- Parameter risk in time-series mortality forecasts
- Analysis of Finnish and Swedish mortality data with stochastic mortality models
- On Fitting generalized linear and non-linear models of mortality
- Mortality regimes and longevity risk in a life annuity portfolio
- Association and heterogeneity of insured lifetimes in the Lee–Carter framework
- Statistical inference for Lee-Carter mortality model and corresponding forecasts
- Multivariate long-memory cohort mortality models
- On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England
- Incorporating structural changes in mortality improvements for mortality forecasting
- A synthesis mortality model for the elderly
- The Lee-Carter model for forecasting mortality, revisited
- Pension plan valuation and mortality projection: a case study with mortality data
- Securitization of longevity risk in reverse mortgages
- Time-series forecasting of mortality rates using deep learning
- Age-coherent extensions of the Lee-Carter model
- Point and interval forecasts of death rates using neural networks
- Extending the Lee-Carter model with variational autoencoder: A fusion of neural network and Bayesian approach
- A subordinated Markov model for stochastic mortality
- Life anuities with stochastic survival probabilities: A review
- Coherent Modeling and Forecasting of Mortality Patterns for Subpopulations Using Multiway Analysis of Compositions: An Application to Canadian Provinces and Territories
- The Impact of Disability Insurance on a Portfolio of Life Insurances
- Longevity and adjustment in pension annuities, with application to Finland
- Using parametric bootstrap to introduce and manage uncertainty: replicated loaded insurance life tables
- Mortality surface by means of continuous time cohort models
- Risk classification in life and health insurance: extension to continuous covariates
- From regulatory life tables to stochastic mortality projections: the exponential decline model
- Moment bounds on discrete expected stop-loss transforms, with applications
- Calibrating affine stochastic mortality models using term assurance premiums
- Bayesian Poisson log-bilinear mortality projections
- A Bayesian joint model for population and portfolio-specific mortality
- Coherent mortality forecasting with generalized linear models: a modified time-transformation approach
- Sex-specific mortality forecasting for UK countries: a coherent approach
- Coherent modeling of male and female mortality using Lee-Carter in a complex number framework
- Addressing the life expectancy gap in pension policy
- An index for longevity risk transfer
- Intergenerational actuarial fairness when longevity increases: amending the retirement age
- Segmentation of mortality surfaces by hidden Markov models
- Modelling and projecting mortality improvement rates using a cohort perspective
- On the valuation of reverse mortgages with regular tenure payments
- Assessment of longevity risk: credibility approach
- Modeling stochastic mortality with O-U type processes
- Evaluating the goodness of fit of stochastic mortality models
- The Lee-Carter quantile mortality model
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
- Modelling and forecasting mortality in Spain
- Socioeconomic differentials in mortality: implications on index-based longevity hedges
- Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
- Dispersion modelling of mortality for both sexes with Tweedie distributions
- THE SAINT MODEL: A DECADE LATER
- Calibrating the Lee-Carter and the Poisson Lee-Carter models via neural networks
- A partial internal model for longevity risk
- A logistic two-population mortality projection model for modelling mortality at advanced ages for both sexes
- Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
- On the effectiveness of natural hedging for insurance companies and pension plans
- The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts
- A COVID-19 stress test for life insurance: insights into the effectiveness of different risk mitigation strategies
- A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population
- Financial position and performance in IFRS 17
- Systematic mortality improvement trends and mortality heterogeneity: insights from individual-level HRS data
- Grouped multivariate and functional time series forecasting: an application to annuity pricing
- Stochastic modelling of mortality and financial markets
- Forecasting mortality in subpopulations using Lee-Carter type models: a comparison
- Case study of Swiss mortality using Bayesian modeling
- Smoothing constrained generalized linear models with an application to the Lee-Carter model
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
- Life expectancy and lifespan disparity forecasting: a long short-term memory approach
- Stochastic modelling and projection of mortality improvements using a hybrid parametric/semi-parametric age-period-cohort model
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- Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
- On the valuation of reverse mortgage insurance
- A Hidden Markov Approach to Disability Insurance
- A DSA algorithm for mortality forecasting
- Constructing dynamic life tables with a single-factor model
- Longevity Greeks: what do insurers and capital market investors need to know?
- A comparison of risk transfer strategies for a portfolio of life annuities based on RORAC
- Penalized least squares smoothing of two-dimensional mortality tables with imposed smoothness
- Comonotonic approximations to quantiles of life annuity conditional expected present value
- Semi-parametric accelerated hazard relational models with applications to mortality projections
- Statistical emulators for pricing and hedging longevity risk products
- Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach
- A neural-network analyzer for mortality forecast
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- Stochastic portfolio specific mortality and the quantification of mortality basis risk
- Longevity risk and capital markets: the 2019--20 update
- Mortality data correction in the absence of monthly fertility records
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