Parameter risk in time-series mortality forecasts
DOI10.1080/03461238.2016.1255655zbMATH Open1402.91202OpenAlexW2552349598MaRDI QIDQ4577206FDOQ4577206
Authors: Torsten Kleinow, Stephen J. Richards 
Publication date: 17 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2016.1255655
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Mathematical geography and demography (91D20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to social sciences (62P25) Sums of independent random variables; random walks (60G50)
Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
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- Time series: theory and methods
- Factor analysis and AIC
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
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- Bootstrap predictive inference for ARIMA processes
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- The impact of multiple structural changes on mortality predictions
- Smoothing constrained generalized linear models with an application to the Lee-Carter model
Cited In (7)
- Point and interval forecasts of death rates using neural networks
- Title not available (Why is that?)
- The dependency premium based on a multifactor model for dependent mortality data
- Title not available (Why is that?)
- Longevity risk and capital markets: the 2019--20 update
- Modelling parameter uncertainty for risk capital calculation
- Estimating the term structure of mortality
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