A multivariate evolutionary credibility model for mortality improvement rates

DOI10.1016/J.INSMATHECO.2016.04.004MaRDI QIDQ343971zbMATHOpenAlexFDO

Authors Edo Schinzinger, Marcus C. Christiansen, Michel 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

Lee-Carter modelpredictive distributionARMA processmortality projectionmulti-population modeling

Mathematics Subject Classification ID

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 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
• A Bayesian forecasting model: predicting U.S. male mortality
• A course in credibility theory and its applications
• A general procedure for constructing mortality models
• Application of the Poisson log-bilinear projection model to the G5 mortality experience
• Bayesian Poisson log-bilinear mortality projections
• Extending the Lee-Carter model: a three-way decomposition
• Modeling and forecasting U.S. mortality. (With discussion)
• Modeling and forecasting mortality rates
• Modelling longevity bonds: analysing the Swiss Re Kortis bond
• Pricing and securitization of multi-country longevity risk with mortality dependence
• Recursive credibility estimation

Cited in

(12)

• Evolutionary Credibility Theory
• Bühlmann Credibility-Based Approaches to Modeling Mortality Rates for Multiple Populations
• A calendar year mortality model in continuous time
• Longevity risk and capital markets: the 2019--20 update
• Evolutionary credibility risk premium
• Incorporating crossed classification credibility into the Lee-Carter model for multi-population mortality data
• Coherent Modeling and Forecasting of Mortality Patterns for Subpopulations Using Multiway Analysis of Compositions: An Application to Canadian Provinces and Territories
• Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach
• Incorporating the Bühlmann credibility into mortality models to improve forecasting performances
• Modelling and forecasting mortality improvement rates with random effects
• Incorporating hierarchical credibility theory into modelling of multi-country mortality rates
• Multidimensional credibility: a new approach based on joint distribution function

Describes a project that uses

Uses Software

• Human Mortality

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