A Bayesian joint model for population and portfolio-specific mortality

DOI10.1017/ASB.2017.17zbMATH Open1390.91223OpenAlexW3122806845MaRDI QIDQ4563808FDOQ4563808

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

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

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

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zbMATH Keywords

Bayesian analysismortality projectionsmoothing priorportfolio-specific mortalityvon Mises-Fisher prior

Mathematics Subject Classification ID

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

Cites Work

• Modeling and forecasting U.S. mortality. (With discussion)
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)
• Title not available (Why is that?)
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A gravity model of mortality rates for two related populations
• Bayesian Poisson log-bilinear mortality projections
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Title not available (Why is that?)
• Actuarial Modelling of Claim Counts
• Dispersion on a Sphere
• The impact of multiple structural changes on mortality predictions
• A common age effect model for the mortality of multiple populations
• On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England
• Bayesian Poisson log-bilinear models for mortality projections with multiple populations

Cited In (10)

• Bayesian Poisson log-bilinear models for mortality projections with multiple populations
• Segmentation of Life-Portfolios by several separation criteria
• Case study of Swiss mortality using Bayesian modeling
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• 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 Bayesian non-parametric model for small population mortality
• A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates
• Modelling mortality: A bayesian factor-augmented var (favar) approach
• The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?

Uses Software

• rstiefel

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