Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality

DOI10.1016/J.INSMATHECO.2011.02.006MaRDI QIDQ2276264zbMATH OpenOpenAlexFDO

Authors Johnny Siu-Hang Li, Wai Sum Chan

Publication date 1 August 2011

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.02.006

zbMATH Keywords

Lee-Carter modelBayesian methodslongevity riskCairns-Blake-Dowd model

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cites work

• scientific article; zbMATH DE number 4086818 (Why is no real title available?)
• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• Approximate Simultaneous Prediction Intervals for Multiple Forecasts
• Estimating the dimension of a model
• Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
• Modeling and forecasting U.S. mortality. (With discussion)
• On age-period-cohort parametric mortality rate projections
• Outlier analysis and mortality forecasting: The United Kingdom and Scandinavian countries
• Simultaneous prediction intervals for autoregressive-integrated moving-average models: A comparative study.
• Simultaneous prediction intervals for multiple forecasts based on Bonferroni and product-type inequalities

Cited in

(8)

• Longevity Risk and Capital Markets: The 2017–2018 Update
• Editorial: Longevity risk and capital markets: the 2013--14 update
• Longevity risk and capital markets: the 2015--16 update
• Longevity risk and capital markets: the 2019--20 update
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Stochastic life table forecasting: a time-simultaneous fan chart application
• Age-specific copula-AR-GARCH mortality models
• Parameter risk in time-series mortality forecasts

Describes a project that uses

Uses Software

• Human Mortality
• bootstrap
• QSIMVN
• boot

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