A multivariate evolutionary credibility model for mortality improvement rates

DOI10.1016/j.insmatheco.2016.04.004zbMath1369.91097OpenAlexW2342986989MaRDI QIDQ343971

Edo Schinzinger, Marcus C. Christiansen, Michel M. Denuit

Publication date: 21 November 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.04.004

zbMATH Keywords

ARMA processLee-Carter modelpredictive distributionmortality projectionmulti-population modeling

Mathematics Subject Classification ID

Related Items (6)

Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach ⋮ 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 ⋮ Modelling and forecasting mortality improvement rates with random effects ⋮ Evolutionary credibility risk premium ⋮ Incorporating crossed classification credibility into the Lee-Carter model for multi-population mortality data

Uses Software

• Human Mortality

Cites Work

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• Bayesian Poisson log-bilinear mortality projections
• Pricing and securitization of multi-country longevity risk with mortality dependence
• Modeling and forecasting mortality rates
• A course in credibility theory and its applications
• Extending the Lee–Carter model: a three-way decomposition
• Recursive credibility estimation
• A General Procedure for Constructing Mortality Models

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