Rotation in age patterns of mortality decline: statistical evidence and modeling

DOI10.1017/S0269964822000468MaRDI QIDQ6163071zbMATH OpenOpenAlexFDO

Authors Johnny Siu-Hang Li, Joseph H. T. Kim

Publication date 16 June 2023

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964822000468

zbMATH Keywords

Lee-Carter modelANCOVAlong-term mortality projectionsstochastic mortality forecasts

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Inference from stochastic processes and prediction (62M20)

Recommendations

• Incorporating structural changes in mortality improvements for mortality forecasting
• Extending Lee–Carter Mortality Forecasting
• A simple linear regression approach to modeling and forecasting mortality rates
• Coherent mortality forecasting with generalized linear models: a modified time-transformation approach
• Age-coherent extensions of the Lee-Carter model

Cites work

• A step-by-step guide to building two-population stochastic mortality models
• Explaining the optimality of U-shaped age-specific mortality
• Lee-Carter mortality forecasting with age-specific enhancement.
• Measuring Basis Risk in Longevity Hedges
• Modeling and forecasting U.S. mortality. (With discussion)
• Modeling pandemic mortality risk and its application to mortality-linked security pricing
• Modeling period effects in multi-population mortality models: applications to Solvency II
• Recent declines in life expectancy: implication on longevity risk hedging
• Rotation of the age pattern of mortality improvements in the European union
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• The Lee-Carter model for forecasting mortality, revisited
• The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty
• The impact of multiple structural changes on mortality predictions
• The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
• Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach

Cited in

(1)

• Rotation of the age pattern of mortality improvements in the European union

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