Negative binomial version of the Lee–Carter model for mortality forecasting

DOI10.1002/ASMB.679MaRDI QIDQ3505201zbMATH OpenOpenAlexFDO

Authors Antoine Delwarde, Christian Partrat, Michel Denuit

Publication date 18 June 2008

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.679

zbMATH Keywords

mortality forecastingnegative binomial distributionoverdispersionthe Lee-Carter model

Mathematics Subject Classification ID

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Cites work

• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications

Cited in

(23)

• Bayesian mortality forecasting with overdispersion
• On the mean value parametrization of natural exponential families -- a revisited review
• Stochastic life table forecasting: a time-simultaneous fan chart application
• Five different distributions for the Lee-Carter model of mortality forecasting: a comparison using GAS models
• An index for longevity risk transfer
• Prospective mortality tables: taking heterogeneity into account
• On the Structure and Classification of Mortality Models
• scientific article; zbMATH DE number 7387617 (Why is no real title available?)
• The GLM framework of the Lee–Carter model: a multi-country study
• Using parametric bootstrap to introduce and manage uncertainty: replicated loaded insurance life tables
• Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans
• Mortality, longevity and experiments with the Lee-Carter model
• Mortality Improvement Rates: Modeling, Parameter Uncertainty, and Robustness
• On age-period-cohort parametric mortality rate projections
• Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
• Robust parameter estimation for the Lee-Carter family: a probabilistic principal component approach
• Bayesian Poisson common factor model with overdispersion for mortality forecasting in multiple populations
• Life anuities with stochastic survival probabilities: A review
• Measurement of longevity risk using bootstrapping for Lee-Carter and generalised linear Poisson models of mortality
• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• Multivariate time series modeling, estimation and prediction of mortalities
• On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
• Comonotonic approximations to quantiles of life annuity conditional expected present value

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