Coherent modeling of male and female mortality using Lee-Carter in a complex number framework

DOI10.1016/j.insmatheco.2016.08.003zbMath1371.91114OpenAlexW2508467282MaRDI QIDQ2374103

Leonie Tickle, Piet de Jong, Jianhui Xu

Publication date: 14 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.08.003

zbMATH Keywords

Lee-Carter modellife expectancymortality forecastingcomplex-valued processcoherent forecasts

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20)

Related Items

Coherent Modeling and Forecasting of Mortality Patterns for Subpopulations Using Multiway Analysis of Compositions: An Application to Canadian Provinces and Territories, Longevity risk and capital markets: the 2019--20 update

Uses Software

• Human Mortality

Cites Work

• Modeling and Forecasting U.S. Mortality
• A step-by-step guide to building two-population stochastic mortality models
• The mortality of the Italian population: smoothing techniques on the Lee-Carter model
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• Robust forecasting of mortality and fertility rates: a functional data approach
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• On the effectiveness of natural hedging for insurance companies and pension plans
• Pricing and securitization of multi-country longevity risk with mortality dependence
• Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Coherent mortality forecasting with generalized linear models: a modified time-transformation approach
• 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
• Cohort extensions of the Poisson common factor model for modelling both genders jointly
• Using the Lee-Carter Method to Forecast Mortality for Populations with Limited Data*
• Mortality Forecasting and Trend Shifts: an Application of the Lee-Carter Model to Swedish Mortality Data*
• Extending Lee–Carter Mortality Forecasting
• Detecting Common Longevity Trends by a Multiple Population Approach
• 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