Prospective mortality tables: taking heterogeneity into account

DOI10.1016/J.INSMATHECO.2015.03.020zbMATH Open1348.91184OpenAlexW794610739MaRDI QIDQ492640FDOQ492640

Authors: Frédéric Planchet, Julien Tomas 

Publication date: 20 August 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.020

Recommendations

• Forecasting and simulating mortality tables
• Uncertainty in mortality projections: an actuarial perspective
• A general procedure for constructing mortality models
• Age-specific adjustment of graduated mortality
• A geostatistical approach for dynamic life tables: the effect of mortality on remaining lifetime and annuities

zbMATH Keywords

Cox modelheterogeneitylocal likelihoodlife insuranceprospective mortality tablerelational modelssingular values decomposition

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Modeling and forecasting U.S. mortality. (With discussion)
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• Local Maximum Likelihood Estimation and Inference
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• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
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• Closing and projecting life tables using log-linear models
• Title not available (Why is that?)
• Lee-Carter mortality forecasting with age-specific enhancement.
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• A comparison of models for dynamic life tables. Application to mortality data from the Valencia region (Spain)
• Multidimensional smoothing by adaptive local kernel-weighted log-likelihood: application to long-term care insurance
• Negative binomial version of the Lee–Carter model for mortality forecasting
• Pension plan valuation and mortality projection: a case study with mortality data

Cited In (11)

• Exploring the longevity risk using statistical tools derived from the Shiryaev-Roberts procedure
• Longevity Risk and Capital Markets: The 2017–2018 Update
• Age-specific adjustment of graduated mortality
• Longevity risk and capital markets: the 2019--20 update
• Constructing entity specific projected mortality table: adjustment to a reference
• A Bayesian non-parametric model for small population mortality
• Long-term care models and dependence probability tables by acuity level: new empirical evidence from Switzerland
• Forecasting and simulating mortality tables
• Combining Life Table Data
• REGRESSION MODELLING OF MORTALITY SURFACES AND THE DECELERATION OF MORTALITY
• Longevity risk and capital markets: the 2015--16 update

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