On age-period-cohort parametric mortality rate projections

From MaRDI portal
Publication:659133


DOI10.1016/j.insmatheco.2009.07.006zbMath1231.91195MaRDI QIDQ659133

Arthur E. Renshaw, Steven Haberman

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5966/1/IME-D-09-00123%5B1%5D.pdf


91B82: Statistical methods; economic indices and measures


Related Items

Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview, A proposition of generalized stochastic Milevsky–Promislov mortality models, A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES, Incorporating the Bühlmann credibility into mortality models to improve forecasting performances, Longevity Risk and Capital Markets: The 2017–2018 Update, On the Structure and Classification of Mortality Models, A Synthesis Mortality Model for the Elderly, Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing, Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models, Hedging Mortality/Longevity Risks for Multiple Years, Continuous-time multi-cohort mortality modelling with affine processes, Using Parametric Bootstrap to Introduce and Manage Uncertainty: Replicated Loaded Insurance Life Tables, A Simple Linear Regression Approach to Modeling and Forecasting Mortality Rates, Applications of Mortality Durations and Convexities in Natural Hedges, A Linear Regression Approach to Modeling Mortality Rates of Different Forms, Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans, Longevity Risk and Capital Markets: The 2012–2013 Update, A General Procedure for Constructing Mortality Models, On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England, Parametric mortality improvement rate modelling and projecting, Editorial: Longevity risk and capital markets: the 2013--14 update, Robustness and convergence in the Lee-Carter model with cohort effects, Pricing longevity risk with the parametric bootstrap: a maximum entropy approach, Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary, Sex-specific mortality forecasting for UK countries: a coherent approach, Longevity risk and capital markets: the 2015--16 update, On the mortality/longevity risk hedging with mortality immunization, Constructing dynamic life tables with a single-factor model, Incorporating statistical clustering methods into mortality models to improve forecasting performances, Longevity risk and capital markets: the 2019--20 update, Care-dependent tontines, Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality, Periodic or generational actuarial tables: which one to choose?, Selecting stochastic mortality models for the Italian population, Age-specific copula-AR-GARCH mortality models, Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type, Modelling and projecting mortality improvement rates using a cohort perspective, Extending the Lee–Carter model: a three-way decomposition, Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap



Cites Work