Pitfalls and merits of cointegration-based mortality models
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Publication:2292183
DOI10.1016/J.INSMATHECO.2019.10.005zbMATH Open1431.91334OpenAlexW2991638135WikidataQ126745296 ScholiaQ126745296MaRDI QIDQ2292183FDOQ2292183
Snorre Jallbjørn, Søren Fiig Jarner
Publication date: 3 February 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.10.005
Recommendations
- Short- and Long-Term Dynamics of Cause-Specific Mortality Rates Using Cointegration Analysis
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- Identification and forecasting in mortality models
- Inference pitfalls in Lee-Carter model for forecasting mortality
- Multivariate long-memory cohort mortality models
- The forecasting performance of mortality models
Cites Work
- Modeling and Forecasting U.S. Mortality
- Statistical modeling: The two cultures. (With comments and a rejoinder).
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- To explain or to predict?
- Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type
- Forecasting with the age-period-cohort model and the extended chain-ladder model
- Testing for a unit root in time series regression
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Modelling adult mortuality in small populations the saint model
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- Measuring Basis Risk in Longevity Hedges
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- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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- Pricing and securitization of multi-country longevity risk with mortality dependence
- Modelling longevity bonds: analysing the Swiss Re Kortis bond
- Title not available (Why is that?)
- Title not available (Why is that?)
- On fitting generalized linear and non-linear models of mortality
- A common age effect model for the mortality of multiple populations
- A multivariate time series approach to projected life tables
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- Identification and forecasting in mortality models
- Granger's representation theorem: A closed‐form expression for I(1) processes
- Sex-specific mortality forecasting for UK countries: a coherent approach
- Identifiability, cointegration and the gravity model
- Basis risk modelling: a cointegration-based approach
- INTERNATIONAL CAUSE-SPECIFIC MORTALITY RATES: NEW INSIGHTS FROM A COINTEGRATION ANALYSIS
- COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH
Cited In (7)
- THE SAINT MODEL: A DECADE LATER
- Short- and Long-Term Dynamics of Cause-Specific Mortality Rates Using Cointegration Analysis
- Longevity risk and capital markets: the 2019--20 update
- Multi-population mortality modelling: a Bayesian hierarchical approach
- Modelling mortality: A bayesian factor-augmented var (favar) approach
- The relationship between longevity and lifespan variation
- Stochastic Mortality Models and Pandemic Shocks
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