Parameter risk in time-series mortality forecasts

DOI10.1080/03461238.2016.1255655MaRDI QIDQ4577206zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ARIMA modelsSolvency IIparameter riskVaRmortality projectionsCTE

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 4047369 (Why is no real title available?)
• scientific article; zbMATH DE number 3727458 (Why is no real title available?)
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• Bootstrap predictive inference for ARIMA processes
• Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
• Factor analysis and AIC
• Modeling and forecasting U.S. mortality. (With discussion)
• Regression and time series model selection in small samples
• Smoothing constrained generalized linear models with an application to the Lee-Carter model
• Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
• The impact of multiple structural changes on mortality predictions
• Time series: theory and methods
• Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach

Cited in

(7)

• Point and interval forecasts of death rates using neural networks
• scientific article; zbMATH DE number 2036507 (Why is no real title available?)
• Longevity risk and capital markets: the 2019--20 update
• Modelling parameter uncertainty for risk capital calculation
• Estimating the term structure of mortality
• The dependency premium based on a multifactor model for dependent mortality data
• scientific article; zbMATH DE number 6971094 (Why is no real title available?)

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