Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard

DOI10.1007/S13385-017-0159-XzbMATH Open1405.91245OpenAlexW2565790936MaRDI QIDQ1689017FDOQ1689017

Authors: Katrien Antonio, Sander Devriendt, W. De Boer, Robert de Vries, Anja De Waegenaere, Hok-Kwan Kan, Egbert Kromme, Wilbert Ouburg, Tim Schulteis, Erica Slagter, Marco van der Winden, Corné van Iersel, M. H. Vellekoop 

Publication date: 12 January 2018

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11245.1/d8700f7c-b309-4ee7-a946-47db1e8612d7

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zbMATH Keywords

longevity riskPoisson regressionstochastic mortality modelsLee and Carter modelLi and Lee modelpension calculationsprofessional actuarial associationsprojected mortalitystochastic multi-population mortality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Modeling and forecasting U.S. mortality. (With discussion)
• Estimating the dimension of a model
• Coherent dispersion criteria for optimal experimental design
• Old-age provision: past, present, future
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Predictive model assessment for count data
• On stochastic mortality modeling
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Closing and projecting life tables using log-linear models
• Title not available (Why is that?)
• Actuarial Mathematics for Life Contingent Risks
• Evaluating the goodness of fit of stochastic mortality models
• The impact of multiple structural changes on mortality predictions
• Multi-population mortality models: fitting, forecasting and comparisons
• Multi-population mortality models: a factor copula approach
• A common age effect model for the mortality of multiple populations
• On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England
• Mortality and life expectancy forecasting for a group of populations in developed countries: a multilevel functional data method
• Multiple mortality modeling in Poisson Lee-Carter framework
• Basis risk in index-based longevity hedges: a guide for longevity hedgers

Cited In (7)

• Forecasting mortality with international linkages: a global vector-autoregression approach
• THE SAINT MODEL: A DECADE LATER
• Mortality projections for non-converging groups of populations
• Mortality modeling and regression with matrix distributions
• Basis risk in index-based longevity hedges: a guide for longevity hedgers
• Periodic or generational actuarial tables: which one to choose?
• Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation

Uses Software

• LifeMetrics

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