Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
DOI10.1016/J.INSMATHECO.2009.09.013zbMATH Open1231.91254OpenAlexW2086298688MaRDI QIDQ659219FDOQ659219
Authors: Sharon S. Yang, Jack C. Yue, Hong-Chih Huang 
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.2009.09.013
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Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)
Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- Robust forecasting of mortality and fertility rates: a functional data approach
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- Longevity risk in portfolios of pension annuities
- Lee-Carter mortality forecasting with age-specific enhancement.
- Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
Cited In (25)
- On the Structure and Classification of Mortality Models
- Modeling and forecasting mortality rates
- Exploring the longevity risk using statistical tools derived from the Shiryaev-Roberts procedure
- On the valuation of reverse mortgages with regular tenure payments
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Evaluating the goodness of fit of stochastic mortality models
- A new approximation of annuity prices for age-period-cohort models
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- On the valuation of reverse mortgage insurance
- Modeling longevity risk with generalized dynamic factor models and vine-copulae
- A neural-network analyzer for mortality forecast
- Mortality forecasting using factor models: time-varying or time-invariant factor loadings?
- Cause-specific mortality rates: common trends and differences
- Longevity risk and capital markets: the 2019--20 update
- Computational framework for longevity risk management
- Characterization of between-group inequality of longevity in European union countries
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Modeling pandemic mortality risk and its application to mortality-linked security pricing
- Editorial: Longevity risk and capital markets: the 2013--14 update
- A linear regression approach to modeling mortality rates of different forms
- Longevity risk and capital markets: the 2015--16 update
- On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
- A feasible natural hedging strategy for insurance companies
- Mortality regimes and pricing
- A general procedure for constructing mortality models
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