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

DOI10.1016/S0167-6687(02)00185-3MaRDI QIDQ1413367zbMATH OpenFDO

Authors Natacha Brouhns, Jeroen K. Vermunt, Michel Denuit

Publication date 16 November 2003

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

Full work available at URL https://research.tilburguniversity.edu/en/publications/e1ac6863-f6e9-4921-a594-f65726bc8f77

zbMATH Keywords

Adverse selectionAge--sex-specific mortalityAnnuitiesLife insuranceLifetable functions

Mathematics Subject Classification ID

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

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Cites work

• A Biometrics Invited Paper with Discussion: The Natural Variability of Vital Rates and Associated Statistics
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• Forecasting Changes in Mortality
• scientific article; zbMATH DE number 5713282 (Why is no real title available?)
• scientific article; zbMATH DE number 2101239 (Why is no real title available?)
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• Lee-Carter mortality forecasting with age-specific enhancement.
• Mortality Change and Forecasting
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• Uncertainty in mortality projections: an actuarial perspective

Cited in

(only showing first 100 items - show all)

• A parameterized approach to modeling and forecasting mortality
• Modelling residuals dependence in dynamic life tables: a geostatistical approach
• Lee-Carter mortality forecasting with age-specific enhancement.
• Sex-specific mortality forecasting for UK countries: a coherent approach
• Risk classification in life and health insurance: extension to continuous covariates
• Bayesian mortality forecasting with overdispersion
• Modeling and forecasting duration-dependent mortality rates
• The forecasting performance of mortality models
• 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
• Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard
• An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
• Longevity risk and capital markets: the 2015--16 update
• Valuation of longevity-linked life annuities
• Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
• Do actuaries believe in longevity deceleration?
• Mortality models and longevity risk for small populations
• Small population bias and sampling effects in stochastic mortality modelling
• Modeling stochastic mortality with O-U type processes
• Analysis of Finnish and Swedish mortality data with stochastic mortality models
• Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
• Constructing dynamic life tables with a single-factor model
• Addressing the life expectancy gap in pension policy
• Modeling and pricing longevity derivatives using Skellam distribution
• Longevity risk and capital markets: the 2019--20 update
• Mortality data correction in the absence of monthly fertility records
• Longevity risk and economic growth in sub-populations: evidence from Italy
• An option pricing approach for measuring solvency capital requirements in insurance industry
• A random forest algorithm to improve the Lee-Carter mortality forecasting: impact on q-forward
• Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach
• Stochastic mortality dynamics driven by mixed fractional Brownian motion
• Green nested simulation via likelihood ratio: applications to longevity risk management
• A more meaningful parameterization of the Lee-Carter model
• Forecasting mortality rate improvements with a high-dimensional VAR
• Calibrating affine stochastic mortality models using term assurance premiums
• Pitfalls and merits of cointegration-based mortality models
• Periodic or generational actuarial tables: which one to choose?
• An age-at-death distribution approach to forecast cohort mortality
• Selecting stochastic mortality models for the Italian population
• Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
• Forecasting mortality in subpopulations using Lee-Carter type models: a comparison
• A semiparametric panel approach to mortality modeling
• On the effectiveness of natural hedging for insurance companies and pension plans
• Five different distributions for the Lee-Carter model of mortality forecasting: a comparison using GAS models
• Grouped multivariate and functional time series forecasting: an application to annuity pricing
• Coherent modeling of male and female mortality using Lee-Carter in a complex number framework
• From regulatory life tables to stochastic mortality projections: the exponential decline model
• An index for longevity risk transfer
• A subordinated Markov model for stochastic mortality
• Explaining Young mortality
• Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
• Estimation and extrapolation of time trends in registry data -- borrowing strength from related populations
• Pricing and securitization of multi-country longevity risk with mortality dependence
• A feasible natural hedging strategy for insurance companies
• On the valuation of reverse mortgages with regular tenure payments
• Mortality surface by means of continuous time cohort models
• Modelling and projecting mortality improvement rates using a cohort perspective
• Modelling and forecasting mortality in Spain
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Coherent mortality forecasting with generalized linear models: a modified time-transformation approach
• Inference pitfalls in Lee-Carter model for forecasting mortality
• Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
• Bayesian population projections for the united nations
• Volterra mortality model: actuarial valuation and risk management with long-range dependence
• Mortality by socio-economic class and its impact on the retirement schemes: how to render the systems fairer?
• Efficient use of data for LSTM mortality forecasting
• Closing and projecting life tables using log-linear models
• Extending the Lee-Carter model: a three-way decomposition
• Longevity hedge effectiveness: a decomposition
• Application of the Poisson log-bilinear projection model to the G5 mortality experience
• Case study of Swiss mortality using Bayesian modeling
• Modeling and management of mortality risk: a review
• The evolution of death rates and life expectancy in Denmark
• Measuring Basis Risk in Longevity Hedges
• Semi-parametric accelerated hazard relational models with applications to mortality projections
• Statistical emulators for pricing and hedging longevity risk products
• A DSA algorithm for mortality forecasting
• Pricing reverse mortgages in Spain
• Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality
• Parametric mortality improvement rate modelling and projecting
• The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts
• Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview
• A neural-network analyzer for mortality forecast
• Smoothing Poisson common factor model for projecting mortality jointly for both sexes
• A Bayesian joint model for population and portfolio-specific mortality
• Testing for a unit root in Lee-Carter mortality model
• Coherent Modeling and Forecasting of Mortality Patterns for Subpopulations Using Multiway Analysis of Compositions: An Application to Canadian Provinces and Territories
• A Hidden Markov Approach to Disability Insurance
• The impact of multiple structural changes on mortality predictions
• Multi-population mortality models: fitting, forecasting and comparisons
• A partial internal model for longevity risk
• Rethinking age-period-cohort mortality trend models
• Stochastic modelling of mortality and financial markets
• Mortality regimes and longevity risk in a life annuity portfolio
• Cohort extensions of the Poisson common factor model for modelling both genders jointly
• On the valuation of reverse mortgage insurance
• On Fitting generalized linear and non-linear models of mortality
• Parameter risk in time-series mortality forecasts
• A Bayesian non-parametric model for small population mortality

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Uses Software

• LEM

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