Outlier analysis and mortality forecasting: The United Kingdom and Scandinavian countries

DOI10.1080/03461230510006973zbMATH Open1092.91050OpenAlexW2007570981MaRDI QIDQ5467656FDOQ5467656

Authors Siu-Hang Li, Wai Sum Chan 

Publication date 24 May 2006

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461230510006973

zbMATH Keywords

Lee-Carter modeloutlier detectionlife expectancytime-series analysis

Mathematics Subject Classification ID

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Cites Work

• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A new look at the statistical model identification
• Approaches and Experiences in Projecting Mortality Patterns for the Oldest-Old
• Data mining on time series: an illustration using fast-food restaurant franchise data.
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
• Mortality Among the Elderly in Sweden 1988–1997
• On a measure of lack of fit in time series models
• On the forecasting of mortality reduction factors
• Outlier Detection and Time Series Modeling
• Projecting Mortality Trends
• Threshold models in non-linear time series analysis
• Two-dimensional Hazard Estimation for Longevity Analysis

Cited In (15)

• Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
• The Lee-Carter model for forecasting mortality, revisited
• Longevity and adjustment in pension annuities, with application to Finland
• Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality
• Spatial patterns of mortality in the United States: a spatial filtering approach
• Mortality forecasting using factor models: time-varying or time-invariant factor loadings?
• Impact of outlier-adjusted Lee-Carter model on the valuation of life annuities
• The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
• The CBD Mortality Indexes: Modeling and Applications
• Modelling and forecasting mortality distributions in England and Wales using the Lee–Carter model
• Robust forecasting of mortality and fertility rates: a functional data approach
• Stochastic Mortality Models and Pandemic Shocks
• Coherent Mortality Forecasting with a Model Averaging Approach: Evidence from Global Populations
• The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
• A general procedure for constructing mortality models

Uses Software

• IMSL Numerical Libraries
• GenStat
• Human Mortality
• SAS/ETS

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