Survival models in a dynamic context: a survey

DOI10.1016/j.insmatheco.2004.04.001zbMath1079.91050OpenAlexW2046786678MaRDI QIDQ704411

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

zbMATH Keywords

Forecasting mortalityLongevity riskMortality trendsProjected life tables

Mathematics Subject Classification ID

Related Items (39)

Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models ⋮ Life anuities with stochastic survival probabilities: A review ⋮ Measuring the effect of mortality improvements on the cost of annuities ⋮ A comparison of models for dynamic life tables. Application to mortality data from the Valencia region (Spain) ⋮ Tackling longevity risk by means of financial compensation ⋮ A subordinated Markov model for stochastic mortality ⋮ A proposition of generalized stochastic Milevsky–Promislov mortality models ⋮ A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST ⋮ Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Unnamed Item ⋮ Multidimensional Lee-Carter model with switching mortality processes ⋮ Survival energy models for mortality prediction and future prospects ⋮ A dynamic parameterization modeling for the age-period-cohort mortality ⋮ Distribution of the random future life expectancies in log-bilinear mortality projection models ⋮ A comonotonicity-based valuation method for guaranteed annuity options ⋮ The private value of public pensions ⋮ A geostatistical approach for dynamic life tables: the effect of mortality on remaining lifetime and annuities ⋮ Mortality modelling with regime-switching for the valuation of a guaranteed annuity option ⋮ De-risking strategy: longevity spread buy-in ⋮ Mortality modeling and regression with matrix distributions ⋮ Modelling and forecasting mortality in Spain ⋮ Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence ⋮ Longevity and adjustment in pension annuities, with application to Finland ⋮ Association and heterogeneity of insured lifetimes in the Lee–Carter framework ⋮ Sustainability of a pay-as-you-go pension system by dynamic immigration control ⋮ Longevity risk in portfolios of pension annuities ⋮ Comonotonic approximations to quantiles of life annuity conditional expected present value ⋮ Mortality, longevity and experiments with the Lee-Carter model ⋮ The determinants of mortality heterogeneity and implications for pricing annuities ⋮ A parameterized approach to modeling and forecasting mortality ⋮ Modelling lifetime dependence for older ages using a multivariate Pareto distribution ⋮ A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach ⋮ Modelling residuals dependence in dynamic life tables: a geostatistical approach ⋮ Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age? ⋮ Optimal contributions in a defined benefit pension scheme with stochastic new entrants ⋮ Understanding, modelling and managing longevity risk: key issues and main challenges ⋮ Pension Plan Valuation and Mortality Projection ⋮ Affine processes for dynamic mortality and actuarial valuations

Uses Software

• Human Mortality

Cites Work

• Modeling and Forecasting U.S. Mortality
• Choice of function for mortality analysis: Effective forecasting depends on a minimum parameter representation
• Mortality derivatives and the option to annuitise.
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• On the forecasting of mortality reduction factors
• Lee-Carter mortality forecasting with age-specific enhancement.
• Mortality Among the Elderly in Sweden 1988–1997
• Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
• On the early history of life insurance mathematics
• Approaches and Experiences in Projecting Mortality Patterns for the Oldest-Old
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• Mortality Change and Forecasting
• Forecasting Changes in Mortality
• An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
• A discussion of parameter and model uncertainty in insurance
• Uncertainty in mortality projections: an actuarial perspective
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Survival models in a dynamic context: a survey