A step-by-step guide to building two-population stochastic mortality models

DOI10.1016/J.INSMATHECO.2015.03.021zbMATH Open1348.91164OpenAlexW2017859105MaRDI QIDQ492644FDOQ492644

Authors: Johnny Siu-Hang Li, Rui Zhou, Mary R. Hardy 

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.2015.03.021

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zbMATH Keywords

coherent mortality forecastingevaluation of mortality modelsindex-based longevity hedgespopulation basis riskselection of mortality models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Modeling and forecasting U.S. mortality. (With discussion)
• Estimating the dimension of a model
• Modelling adult mortuality in small populations the saint model
• A gravity model of mortality rates for two related populations
• Measuring Basis Risk in Longevity Hedges
• Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Pricing and securitization of multi-country longevity risk with mortality dependence
• A general procedure for constructing mortality models
• On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
• Evaluating the goodness of fit of stochastic mortality models
• The CBD Mortality Indexes: Modeling and Applications
• Modeling period effects in multi-population mortality models: applications to Solvency II

Cited In (32)

• Incorporating hierarchical credibility theory into modelling of multi-country mortality rates
• Modelling mortality dependence with regime-switching copulas
• Modeling period effects in multi-population mortality models: applications to Solvency II
• Modelling mortality dependence: an application of dynamic vine copula
• Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
• Coherent modeling of male and female mortality using Lee-Carter in a complex number framework
• Addressing the life expectancy gap in pension policy
• How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach
• Longevity Risk and Capital Markets: The 2017–2018 Update
• Multi-population mortality forecasting using tensor decomposition
• A comparative study of two-population models for the assessment of basis risk in longevity hedges
• Dispersion modelling of mortality for both sexes with Tweedie distributions
• Coherent mortality forecasting by the weighted multilevel functional principal component approach
• A General Semi-Markov Model for Coupled Lifetimes
• Modelling mortality for pension schemes
• Accurate and explainable mortality forecasting with the LocalGLMnet
• 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
• A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE
• Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble
• Multi-population mortality models: fitting, forecasting and comparisons
• Multi-population modelling and forecasting life-table death counts
• Rotation in age patterns of mortality decline: statistical evidence and modeling
• The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty
• Multi-population mortality modelling: a Bayesian hierarchical approach
• An efficient method for mitigating longevity value-at-risk
• Incorporating crossed classification credibility into the Lee-Carter model for multi-population mortality data
• Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach
• Longevity risk and capital markets: the 2015--16 update
• Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach
• A group regularisation approach for constructing generalised age-period-cohort mortality projection models
• The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk

Uses Software

• Human Mortality

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