Five different distributions for the Lee-Carter model of mortality forecasting: a comparison using GAS models

DOI10.1016/J.INSMATHECO.2017.04.004MaRDI QIDQ2364005zbMATH OpenOpenAlexFDO

Authors César Neves, Cristiano Fernandes, Henrique Hoeltgebaum

Publication date 17 July 2017

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2017.04.004

zbMATH Keywords

Lee-Carter modelforecastingmortality ratesGAS modelsobservation-driven time series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Mathematical geography and demography (91D20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 5522381 (Why is no real title available?)
• A Family of Variable-Metric Methods Derived by Variational Means
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• A new approach to variable metric algorithms
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditioning of Quasi-Newton Methods for Function Minimization
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• Extending Lee–Carter Mortality Forecasting
• Generalized autoregressive conditional heteroscedasticity
• Information-theoretic optimality of observation-driven time series models for continuous responses
• Negative binomial version of the Lee–Carter model for mortality forecasting
• Observation-driven models for Poisson counts
• On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
• Pension plan valuation and mortality projection: a case study with mortality data
• The Convergence of a Class of Double-rank Minimization Algorithms 1. General Considerations

Cited in

(8)

• Longevity Risk and Capital Markets: The 2017–2018 Update
• Negative binomial version of the Lee–Carter model for mortality forecasting
• Extending the Lee-Carter model with variational autoencoder: A fusion of neural network and Bayesian approach
• Mortality forecasting using factor models: time-varying or time-invariant factor loadings?
• Longevity risk and capital markets: the 2019--20 update
• A single factor model for constructing dynamic life tables
• Extending Lee–Carter Mortality Forecasting
• The Lee-Carter model for forecasting mortality, revisited

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