Incorporating hierarchical credibility theory into modelling of multi-country mortality rates

DOI10.1016/J.INSMATHECO.2020.01.001MaRDI QIDQ2306089zbMATH OpenOpenAlexFDO

Authors Cary Chi-Liang Tsai, Adelaide Di Wu

Publication date 20 March 2020

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.01.001

zbMATH Keywords

Lee-Carter modelmulti-population mortality modelannual mortality decrementhierarchical credibility theoryBühlmann credibility theory

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• scientific article; zbMATH DE number 3609032 (Why is no real title available?)
• A Bühlmann credibility approach to modeling mortality rates
• A course in credibility theory and its applications
• A hierarchical credibility regression model
• A linear regression approach to modeling mortality rates of different forms
• A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates
• A multi-level hierarchical credibility regression model
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• A step-by-step guide to building two-population stochastic mortality models
• Age-specific copula-AR-GARCH mortality models
• Bühlmann Credibility-Based Approaches to Modeling Mortality Rates for Multiple Populations
• Hierarchical credibility: analysis of a random effect linear model with nested classification
• Incorporating the Bühlmann credibility into mortality models to improve forecasting performances
• Loss models. From data to decisions
• Measuring Basis Risk in Longevity Hedges
• Modeling and forecasting U.S. mortality. (With discussion)
• Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
• Multi-population mortality models: a factor copula approach

Cited in

(7)

• A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates
• Bühlmann Credibility-Based Approaches to Modeling Mortality Rates for Multiple Populations
• Incorporating crossed classification credibility into the Lee-Carter model for multi-population mortality data
• The Bühlmann-Straub estimation of claim means in random B-F reserve model
• Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach
• A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates
• Incorporating the Bühlmann credibility into mortality models to improve forecasting performances

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