Evaluating the goodness of fit of stochastic mortality models
From MaRDI portal
Publication:661248
DOI10.1016/j.insmatheco.2010.06.006zbMath1231.91179MaRDI QIDQ661248
David Blake, Kevin Dowd, Andrew J. G. Cairns, Guy D. Coughlan, Marwa Khalaf-Allah, David Epstein
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.2010.06.006
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B70: Stochastic models in economics
Related Items
THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK, The impact of multiple structural changes on mortality predictions, Rethinking age-period-cohort mortality trend models, Longevity Risk and Capital Markets: The 2017–2018 Update, A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States, A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS, 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, Statistical Inference for Lee-Carter Mortality Model and Corresponding Forecasts, ON THE STRUCTURAL CHANGE OF THE LEE-CARTER MODEL AND ITS ACTUARIAL APPLICATION, Longevity Risk and Capital Markets: The 2012–2013 Update, A General Procedure for Constructing Mortality Models, Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds, On a stochastic nonlocal system with discrete diffusion modeling life tables, A calendar year mortality model in continuous time, Parametric mortality improvement rate modelling and projecting, Editorial: Longevity risk and capital markets: the 2013--14 update, A step-by-step guide to building two-population stochastic mortality models, Redistribution of longevity risk: the effect of heterogeneous mortality beliefs, Securitizing and tranching longevity exposures, Evaluating the goodness of fit of stochastic mortality models, A quantitative comparison of stochastic mortality models on Italian population data, Semi-parametric extensions of the Cairns-Blake-Dowd model: a one-dimensional kernel smoothing approach, Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard, Longevity risk and capital markets: the 2015--16 update, Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company?, A strategy for hedging risks associated with period and cohort effects using q-forwards, Small population bias and sampling effects in stochastic mortality modelling, A comparative study of pricing approaches for longevity instruments, Analysis of Finnish and Swedish mortality data with stochastic mortality models, Bayesian value-at-risk backtesting: the case of annuity pricing, Recent declines in life expectancy: implication on longevity risk hedging, Longevity risk and capital markets: the 2019--20 update, Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach, Green nested simulation via likelihood ratio: applications to longevity risk management, Stochastic life table forecasting: a time-simultaneous fan chart application, Mortality projections for non-converging groups of populations, The valuation of no-negative equity guarantees and equity release mortgages, Selecting stochastic mortality models for the Italian population, A semiparametric panel approach to mortality modeling, Explaining Young mortality, Coherent mortality forecasting with generalized linear models: a modified time-transformation approach, Longevity hedge effectiveness: a decomposition, Modelling and management of mortality risk: a review, Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
Uses Software
Cites Work
- Modeling and Forecasting U.S. Mortality
- Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
- Evaluating the goodness of fit of stochastic mortality models
- Robust forecasting of mortality and fertility rates: a functional data approach
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Smoothing and forecasting mortality rates
- A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
