On stochastic mortality modeling
From MaRDI portal
Publication:659159
DOI10.1016/j.insmatheco.2009.08.006zbMath1231.91227OpenAlexW3121171014MaRDI QIDQ659159
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.08.006
Related Items
Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach ⋮ Mortality forecasting using stacked regression ensembles ⋮ Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models ⋮ TREE-BASED MACHINE LEARNING METHODS FOR MODELING AND FORECASTING MORTALITY ⋮ Statistical emulators for pricing and hedging longevity risk products ⋮ A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS ⋮ Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach ⋮ A general framework for analysing the mortality experience of a large portfolio of lives: with an application to the UK universities superannuation scheme ⋮ Retirement spending and biological age ⋮ 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 ⋮ Pricing longevity-linked derivatives using a stochastic mortality model ⋮ Model mortality rates using property and casualty insurance reserving methods ⋮ The impact of multiple structural changes on mortality predictions ⋮ Incorporating the Bühlmann credibility into mortality models to improve forecasting performances ⋮ Multi-population mortality modeling: when the data is too much and not enough ⋮ Semi-parametric extensions of the Cairns-Blake-Dowd model: a one-dimensional kernel smoothing approach ⋮ The slowdown in mortality improvement rates 2011--2017: a multi-country analysis ⋮ Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard ⋮ Analysis of Finnish and Swedish mortality data with stochastic mortality models ⋮ Forecasting short-term mortality trends using Bernstein polynomials ⋮ A Neural Approach to Improve the Lee-Carter Mortality Density Forecasts ⋮ Hedging Mortality/Longevity Risks for Multiple Years ⋮ Parametric mortality improvement rate modelling and projecting ⋮ Intergenerational actuarial fairness when longevity increases: amending the retirement age ⋮ Explaining Young mortality ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Using Taiwan national health insurance database to model cancer incidence and mortality rates ⋮ Identifiability, cointegration and the gravity model ⋮ Modeling trend processes in parametric mortality models ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary ⋮ Bayesian Poisson log-bilinear models for mortality projections with multiple populations ⋮ Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble ⋮ The Lee-Carter quantile mortality model ⋮ A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates ⋮ Pricing and securitization of multi-country longevity risk with mortality dependence ⋮ Modeling and forecasting mortality rates ⋮ A Three-Factor Model for Mortality Modeling ⋮ Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans ⋮ A Bühlmann Credibility Approach to Modeling Mortality Rates ⋮ Stochastic Mortality Modeling: Key Drivers and Dependent Residuals ⋮ Drivers of Mortality Dynamics: Identifying Age/Period/Cohort Components of Historical U.S. Mortality Improvements ⋮ Introducing and Evaluating a New Multiple-Component Stochastic Mortality Model ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Modelling longevity bonds: analysing the Swiss Re Kortis bond ⋮ Redistribution of longevity risk: the effect of heterogeneous mortality beliefs ⋮ Pension schemes versus real estate ⋮ Modeling stochastic mortality with O-U type processes ⋮ Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ A General Procedure for Constructing Mortality Models ⋮ On the mortality/longevity risk hedging with mortality immunization ⋮ Forecasting mortality rate improvements with a high-dimensional VAR ⋮ Constructing dynamic life tables with a single-factor model ⋮ Cause of death specific cohort effects in U.S. mortality ⋮ Addressing the life expectancy gap in pension policy ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Mortality data correction in the absence of monthly fertility records ⋮ MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX ⋮ An age-at-death distribution approach to forecast cohort mortality ⋮ Correlated age-specific mortality model: an application to annuity portfolio management ⋮ Trends in Canadian Mortality by Pension Level: Evidence from the CPP and QPP ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ On the Structure and Classification of Mortality Models ⋮ A Bayesian Approach to Modeling and Projecting Cohort Effects ⋮ Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing ⋮ 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 ⋮ The dependency premium based on a multifactor model for dependent mortality data ⋮ Selecting stochastic mortality models for the Italian population ⋮ Age-specific copula-AR-GARCH mortality models ⋮ A semiparametric panel approach to mortality modeling
Cites Work
- Modeling and Forecasting U.S. Mortality
- On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
- Mortality derivatives and the option to annuitise.
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Lee-Carter mortality forecasting with age-specific enhancement.
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- Affine stochastic mortality
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Smoothing and forecasting mortality rates
- Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
- Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
- Bootstrapping the Poisson log-bilinear model for mortality forecasting
- Extending Lee–Carter Mortality Forecasting
- A discussion of parameter and model uncertainty in insurance
This page was built for publication: On stochastic mortality modeling