Robustness and convergence in the Lee-Carter model with cohort effects
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Publication:495469
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Cites work
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A geostatistical approach for dynamic life tables: the effect of mortality on remaining lifetime and annuities
- 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
- Analysis of Finnish and Swedish mortality data with stochastic mortality models
- Bootstrapping the Poisson log-bilinear model for mortality forecasting
- Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
- Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
- Modeling and forecasting U.S. mortality. (With discussion)
- On age-period-cohort parametric mortality rate projections
- On the forecasting of mortality reduction factors
Cited in
(22)- Sex-specific mortality forecasting for UK countries: a coherent approach
- A quantitative comparison of stochastic mortality models on Italian population data
- A class of random field memory models for mortality forecasting
- Longevity risk and capital markets: the 2015--16 update
- Addressing the life expectancy gap in pension policy
- Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach
- Stochastic mortality dynamics driven by mixed fractional Brownian motion
- Model mortality rates using property and casualty insurance reserving methods
- Forecasting mortality rate improvements with a high-dimensional VAR
- Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type
- The slowdown in mortality improvement rates 2011--2017: a multi-country analysis
- Coherent forecasting of mortality rates: a sparse vector-autoregression approach
- A comparative study of two-population models for the assessment of basis risk in longevity hedges
- On the Structure and Classification of Mortality Models
- Market pricing of longevity-linked securities
- Mortality forecasting using stacked regression ensembles
- A group regularisation approach for constructing generalised age-period-cohort mortality projection models
- Introducing and evaluating a new multiple-component stochastic mortality model
- Multivariate long-memory cohort mortality models
- Modelling mortality: A bayesian factor-augmented var (favar) approach
- Fast estimation of the Renshaw-Haberman model and its variants
- Cliometrics and actuarial science: new avenues for enriching prospective mortality table construction models
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