A BAYESIAN JOINT MODEL FOR POPULATION AND PORTFOLIO-SPECIFIC MORTALITY

DOI10.1017/asb.2017.17zbMath1390.91223OpenAlexW3122806845MaRDI QIDQ4563808

Frank van Berkum, Katrien Antonio, Michel 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

zbMATH Keywords

Bayesian analysismortality projectionsmoothing priorportfolio-specific mortalityvon Mises-Fisher prior

Mathematics Subject Classification ID

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

Related Items

A Bayesian non-parametric model for small population mortality ⋮ Modelling mortality: A bayesian factor-augmented var (favar) approach ⋮ Longevity risk and capital markets: the 2019--20 update

Uses Software

• rstiefel

Cites Work

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