A step-by-step guide to building two-population stochastic mortality models
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Cites work
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A general procedure for constructing mortality models
- 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
- Estimating the dimension of a model
- Evaluating the goodness of fit of stochastic mortality models
- Measuring Basis Risk in Longevity Hedges
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling period effects in multi-population mortality models: applications to Solvency II
- Modelling adult mortuality in small populations the saint model
- On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
- Pricing and securitization of multi-country longevity risk with mortality dependence
- Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
- The CBD Mortality Indexes: Modeling and Applications
Cited in
(32)- 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
- 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
- Coherent modeling of male and female mortality using Lee-Carter in a complex number framework
- Addressing the life expectancy gap in pension policy
- Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
- 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
- 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
- An efficient method for mitigating longevity value-at-risk
- Multi-population mortality modelling: a Bayesian hierarchical 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
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