Survival models in a dynamic context: a survey

DOI10.1016/J.INSMATHECO.2004.04.001zbMATH Open1079.91050OpenAlexW2046786678MaRDI QIDQ704411FDOQ704411

Authors: Ermanno Pitacco 

Publication date: 13 January 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.04.001

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zbMATH Keywords

Forecasting mortalityLongevity riskMortality trendsProjected life tables

Mathematics Subject Classification ID

Cites Work

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Cited In (52)

• Association and heterogeneity of insured lifetimes in the Lee–Carter framework
• Forecasting mortality trends allowing for cause-of-death mortality dependence
• Pension plan valuation and mortality projection: a case study with mortality data
• A subordinated Markov model for stochastic mortality
• Longevity and adjustment in pension annuities, with application to Finland
• Title not available (Why is that?)
• Life anuities with stochastic survival probabilities: A review
• The determinants of mortality heterogeneity and implications for pricing annuities
• Corrective factors for longevity projections in a dynamic context
• Dynamic Financial Models of Life Insurers
• Affine processes for dynamic mortality and actuarial valuations
• Multidimensional Lee-Carter model with switching mortality processes
• A comonotonicity-based valuation method for guaranteed annuity options
• De-risking strategy: longevity spread buy-in
• Modelling and forecasting mortality in Spain
• Understanding, modelling and managing longevity risk: key issues and main challenges
• A class of parametric dynamic survival models
• A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
• Applications of a multi-state risk factor/mortality model in life insurance
• Survival energy models for mortality prediction and future prospects
• Constructing dynamic life tables with a single-factor model
• Modelling lifetime dependence for older ages using a multivariate Pareto distribution
• A neural-network analyzer for mortality forecast
• Comonotonic approximations to quantiles of life annuity conditional expected present value
• Tackling longevity risk by means of financial compensation
• A comparison of models for dynamic life tables. Application to mortality data from the Valencia region (Spain)
• Valuation of general GMWB annuities in a low interest rate environment
• Optimal dynamic treatment regimes with survival endpoints: introducing DWSurv in the R package DTRreg
• Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
• Commentary to: ``Survival models and health sequences
• A New Survival Model for the Diffusion Pattern of TV Programs
• A geostatistical approach for dynamic life tables: the effect of mortality on remaining lifetime and annuities
• A handbook of parametric survival models for actuarial use
• Mortality modeling and regression with matrix distributions
• Dynamic regression models for survival data.
• Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models
• Longevity risk in portfolios of pension annuities
• Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?
• Measuring the effect of mortality improvements on the cost of annuities
• A dynamic parameterization modeling for the age-period-cohort mortality
• Mortality, longevity and experiments with the Lee-Carter model
• The private value of public pensions
• Optimal contributions in a defined benefit pension scheme with stochastic new entrants
• Distribution of the random future life expectancies in log-bilinear mortality projection models
• A parameterized approach to modeling and forecasting mortality
• A proposition of generalized stochastic Milevsky-Promislov mortality models
• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• Sustainability of a pay-as-you-go pension system by dynamic immigration control
• A dynamic equivalence principle for systematic longevity risk management
• Modelling residuals dependence in dynamic life tables: a geostatistical approach
• Dynamic hazards modelling for predictive longevity risk assessment
• The survival potential and the life expectancy evaluation

Uses Software

• Human Mortality

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