Multi-population mortality models: fitting, forecasting and comparisons

DOI10.1080/03461238.2015.1133450zbMATH Open1401.62206OpenAlexW2306589531MaRDI QIDQ4575467FDOQ4575467

Authors: Vasil Enchev, Torsten Kleinow, Andrew J. G. Cairns 

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1133450

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zbMATH Keywords

multi-populationstochastic mortality modelLi and Lee modelcommon age effect model

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to social sciences (62P25)

Cites Work

• Modeling and forecasting U.S. mortality. (With discussion)
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A gravity model of mortality rates for two related populations
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• A step-by-step guide to building two-population stochastic mortality models
• A common age effect model for the mortality of multiple populations
• Forecasting mortality in subpopulations using Lee-Carter type models: a comparison

Cited In (44)

• On the Structure and Classification of Mortality Models
• Incorporating hierarchical credibility theory into modelling of multi-country mortality rates
• Bayesian Poisson log-bilinear models for mortality projections with multiple populations
• Bias-corrected inference for a modified Lee-Carter mortality model
• Statistical inference for Lee-Carter mortality model and corresponding forecasts
• Coherent Modeling and Forecasting of Mortality Patterns for Subpopulations Using Multiway Analysis of Compositions: An Application to Canadian Provinces and Territories
• Longevity hedge effectiveness using socioeconomic indices
• Sex-specific mortality forecasting for UK countries: a coherent approach
• Title not available (Why is that?)
• Multi-population mortality forecasting using tensor decomposition
• Socioeconomic differentials in mortality: implications on index-based longevity hedges
• Calibrating the Lee-Carter and the Poisson Lee-Carter models via neural networks
• Title not available (Why is that?)
• Gompertz law revisited: forecasting mortality with a multi-factor exponential model
• Coherent mortality forecasting by the weighted multilevel functional principal component approach
• Shortcuts for the construction of sub-annual life tables
• Mortality projections for non-converging groups of populations
• A multi-population approach to forecasting all-cause mortality using cause-of-death mortality data
• Temporal Models for Demographic and Global Health Outcomes in Multiple Populations: Introducing a New Framework to Review and Standardise Documentation of Model Assumptions and Facilitate Model Comparison
• Longevity risk and capital markets: the 2019--20 update
• Pooling mortality risk in eurozone state pension liabilities: an application of a Bayesian coherent multi-population cohort-based mortality model
• Geographical diversification and longevity risk mitigation in annuity portfolios
• Multipopulation mortality modelling and forecasting: the weighted multivariate functional principal component approaches
• Trends in Canadian mortality by pension level: evidence from the CPP and QPP
• Inference for the Lee-Carter model with an AR(2) process
• A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE
• Forecasting mortality rate improvements with a high-dimensional VAR
• Incorporating big microdata in life table construction: A hypothesis-free estimator
• Modeling temperature effects on mortality: multiple segmented relationships with common break points
• Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
• Multi-population mortality modeling: when the data is too much and not enough
• Bühlmann Credibility-Based Approaches to Modeling Mortality Rates for Multiple Populations
• Multi-population modelling and forecasting life-table death counts
• The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty
• A common age effect model for the mortality of multiple populations
• Multi-population mortality models: a factor copula approach
• Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach
• Identification and forecasting in mortality models
• Locally-coherent multi-population mortality modelling via neural networks
• A parameterized approach to modeling and forecasting mortality
• A Simulation Study Comparing Modeling Approaches in an Illness-Death Multi-State Model
• Quantile mortality modelling of multiple populations via neural networks
• Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard
• Multiple mortality modeling in Poisson Lee-Carter framework

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