Identifiability, cointegration and the gravity model

DOI10.1016/j.insmatheco.2017.09.014zbMath1400.91248OpenAlexW2550528878MaRDI QIDQ1697266

David Blake, Andrew Hunt

Publication date: 15 February 2018

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/18374/8/wp1505.pdf

zbMATH Keywords

gravity modelage/period/cohort modelsmortality modellingcoherent mortality projectionmulti-population modelling

Mathematics Subject Classification ID

Related Items (8)

Forecasting mortality with international linkages: a global vector-autoregression approach ⋮ A combined analysis of hedge effectiveness and capital efficiency in longevity hedging ⋮ Recent declines in life expectancy: implication on longevity risk hedging ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Pitfalls and merits of cointegration-based mortality models ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model ⋮ THE SAINT MODEL: A DECADE LATER

Uses Software

• Human Mortality

Cites Work

• Modeling and Forecasting U.S. Mortality
• Modelling longevity bonds: analysing the Swiss Re Kortis bond
• On stochastic mortality modeling
• Identification and forecasting in mortality models
• Pricing and securitization of multi-country longevity risk with mortality dependence
• Modelling Adult Mortality in Small Populations: The Saint Model
• A Gravity Model of Mortality Rates for Two Related Populations
• Measuring Basis Risk in Longevity Hedges
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II
• On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England

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