A Bayesian joint model for population and portfolio-specific mortality

DOI10.1017/ASB.2017.17MaRDI QIDQ4563808zbMATH OpenOpenAlexFDO

Authors Frank van Berkum, Katrien Antonio, M. H. Vellekoop

Publication date 4 June 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1017/asb.2017.17

zbMATH Keywords

Bayesian analysismortality projectionportfolio-specific mortalitysmoothing priorvon Mises-Fisher prior

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20)

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Cites work

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• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• Actuarial Modelling of Claim Counts
• Bayesian Poisson log-bilinear models for mortality projections with multiple populations
• Bayesian Poisson log-bilinear mortality projections
• Dispersion on a Sphere
• scientific article; zbMATH DE number 5522381 (Why is no real title available?)
• scientific article; zbMATH DE number 2148835 (Why is no real title available?)
• Modeling and forecasting U.S. mortality. (With discussion)
• On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England
• Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• The impact of multiple structural changes on mortality predictions
• Understanding, modelling and managing longevity risk: key issues and main challenges

Cited in

(11)

• Longevity risk and capital markets: the 2019--20 update
• A general framework for analysing the mortality experience of a large portfolio of lives: with an application to the UK universities superannuation scheme
• A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates
• Case study of Swiss mortality using Bayesian modeling
• Segmentierung von Lebensversicherungsbeständen unter numerischen Aspekten
• A Bayesian non-parametric model for small population mortality
• Segmentation of Life-Portfolios by several separation criteria
• Modelling mortality: A bayesian factor-augmented var (favar) approach
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• Bayesian Poisson log-bilinear models for mortality projections with multiple populations
• The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?

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Uses Software

• rstiefel

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