A Poisson log-bilinear regression approach to the construction of projected lifetables.

DOI10.1016/S0167-6687(02)00185-3zbMATH Open1074.62524MaRDI QIDQ1413367FDOQ1413367

Authors: Natacha Brouhns, Jeroen K. Vermunt, Michel Denuit 

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Recommendations

• Closing and projecting life tables using log-linear models
• Bayesian Poisson log-bilinear mortality projections
• On age-period-cohort parametric mortality rate projections
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• Bayesian Poisson log-bilinear models for mortality projections with multiple populations

zbMATH Keywords

Adverse selectionAge--sex-specific mortalityAnnuitiesLife insuranceLifetable functions

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Forecasting Changes in Mortality
• A Biometrics Invited Paper with Discussion: The Natural Variability of Vital Rates and Associated Statistics
• Lee-Carter mortality forecasting with age-specific enhancement.
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• Title not available (Why is that?)
• Mortality Change and Forecasting
• An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
• Uncertainty in mortality projections: an actuarial perspective
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (only showing first 100 items - show all)

• Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
• Parameter risk in time-series mortality forecasts
• Bayesian Poisson log-bilinear models for mortality projections with multiple populations
• Association and heterogeneity of insured lifetimes in the Lee–Carter framework
• Mortality regimes and longevity risk in a life annuity portfolio
• Life anuities with stochastic survival probabilities: A review
• Mortality surface by means of continuous time cohort models
• A Bayesian joint model for population and portfolio-specific mortality
• Risk classification in life and health insurance: extension to continuous covariates
• Coherent mortality forecasting with generalized linear models: a modified time-transformation approach
• Sex-specific mortality forecasting for UK countries: a coherent approach
• The Lee-Carter quantile mortality model
• Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
• A partial internal model for longevity risk
• On the effectiveness of natural hedging for insurance companies and pension plans
• Forecasting mortality in subpopulations using Lee-Carter type models: a comparison
• Smoothing constrained generalized linear models with an application to the Lee-Carter model
• Life expectancy and lifespan disparity forecasting: a long short-term memory approach
• Title not available (Why is that?)
• On the valuation of reverse mortgage insurance
• Comonotonic approximations to quantiles of life annuity conditional expected present value
• Mortality forecasting using stacked regression ensembles
• Basis risk modelling: a cointegration-based approach
• Fuzzy formulation of the Lee-Carter model for mortality forecasting
• An age-at-death distribution approach to forecast cohort mortality
• Multivariate time series modeling, estimation and prediction of mortalities
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
• A class of random field memory models for mortality forecasting
• Semi-parametric extensions of the Cairns-Blake-Dowd model: a one-dimensional kernel smoothing approach
• Modeling and forecasting duration-dependent mortality rates
• The forecasting performance of mortality models
• Market pricing of longevity-linked securities
• The mortality of the Italian population: smoothing techniques on the Lee-Carter model
• Cohort extensions of the Poisson common factor model for modelling both genders jointly
• Annuity uncertainty with stochastic mortality and interest rates
• Mortality, longevity and experiments with the Lee-Carter model
• An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
• Do actuaries believe in longevity deceleration?
• Longevity risk and capital markets: the 2015--16 update
• Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
• Valuation of longevity-linked life annuities
• Small population bias and sampling effects in stochastic mortality modelling
• Quadratic stochastic intensity and prospective mortality tables
• Estimating the term structure of mortality
• A linear algebraic method for pricing temporary life annuities and insurance policies
• A semiparametric panel approach to mortality modeling
• Median bilinear models in presence of extreme values
• Explaining Young mortality
• Mortality models and longevity risk for small populations
• Physiological age, health costs, and their interrelation
• Closing and projecting life tables using log-linear models
• Bayesian population projections for the united nations
• Longevity hedge effectiveness: a decomposition
• On Fitting generalized linear and non-linear models of mortality
• On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England
• Statistical inference for Lee-Carter mortality model and corresponding forecasts
• Multivariate long-memory cohort mortality models
• Analysis of Finnish and Swedish mortality data with stochastic mortality models
• 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
• Age-coherent extensions of the Lee-Carter model
• A subordinated Markov model for stochastic mortality
• From regulatory life tables to stochastic mortality projections: the exponential decline model
• Calibrating affine stochastic mortality models using term assurance premiums
• Moment bounds on discrete expected stop-loss transforms, with applications
• Bayesian Poisson log-bilinear mortality projections
• Coherent modeling of male and female mortality using Lee-Carter in a complex number framework
• An index for longevity risk transfer
• Modelling and projecting mortality improvement rates using a cohort perspective
• On the valuation of reverse mortgages with regular tenure payments
• Evaluating the goodness of fit of stochastic mortality models
• Socioeconomic differentials in mortality: implications on index-based longevity hedges
• Modelling and forecasting mortality in Spain
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
• The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts
• Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
• Case study of Swiss mortality using Bayesian modeling
• Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
• Semi-parametric accelerated hazard relational models with applications to mortality projections
• Statistical emulators for pricing and hedging longevity risk products
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• Bootstrapping the Poisson log-bilinear model for mortality forecasting
• A comparison of models for dynamic life tables. Application to mortality data from the Valencia region (Spain)
• A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
• Valuation of contingent claims with mortality and interest rate risks
• 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
• Mortality projections for higher educational attainment with semi-parametric accelerated hazard relational models
• On the optimal product mix in life insurance companies using conditional value at risk
• Modeling mortality at old age with time-varying parameters
• The conversion option in life insurance
• Measuring Basis Risk in Longevity Hedges
• Longevity risk in portfolios of pension annuities
• Continuous-time multi-cohort mortality modelling with affine processes

Uses Software

• LEM

This page was built for publication: A Poisson log-bilinear regression approach to the construction of projected lifetables.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1413367)