Survival models in a dynamic context: a survey

DOI10.1016/J.INSMATHECO.2004.04.001MaRDI QIDQ704411zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Forecasting mortalityLongevity riskMortality trendsProjected life tables

Mathematics Subject Classification ID

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Cited in

(54)

• A parameterized approach to modeling and forecasting mortality
• Modelling residuals dependence in dynamic life tables: a geostatistical approach
• Corrective factors for longevity projections in a dynamic context
• De-risking strategy: longevity spread buy-in
• Sustainability of a pay-as-you-go pension system by dynamic immigration control
• Constructing dynamic life tables with a single-factor model
• Tackling longevity risk by means of financial compensation
• Commentary to: ``Survival models and health sequences
• A subordinated Markov model for stochastic mortality
• A dynamic equivalence principle for systematic longevity risk management
• Multidimensional Lee-Carter model with switching mortality processes
• A comonotonicity-based valuation method for guaranteed annuity options
• Modelling and forecasting mortality in Spain
• Dynamic regression models for survival data.
• The determinants of mortality heterogeneity and implications for pricing annuities
• Applications of a multi-state risk factor/mortality model in life insurance
• Modelling lifetime dependence for older ages using a multivariate Pareto distribution
• A class of parametric dynamic survival models
• Optimal contributions in a defined benefit pension scheme with stochastic new entrants
• Dynamic hazards modelling for predictive longevity risk assessment
• A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
• Understanding, modelling and managing longevity risk: key issues and main challenges
• A handbook of parametric survival models for actuarial use
• The survival potential and the life expectancy evaluation
• A proposition of generalized stochastic Milevsky-Promislov mortality models
• A neural-network analyzer for mortality forecast
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• Pension plan valuation and mortality projection: a case study with mortality data
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• A New Survival Model for the Diffusion Pattern of TV Programs
• Longevity and adjustment in pension annuities, with application to Finland
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• Dynamic Financial Models of Life Insurers
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• Mortality modeling and regression with matrix distributions
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• Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?
• Affine processes for dynamic mortality and actuarial valuations
• Life anuities with stochastic survival probabilities: A review
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• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• The private value of public pensions
• Longevity risk in portfolios of pension annuities
• Comonotonic approximations to quantiles of life annuity conditional expected present value

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Uses Software

• Human Mortality

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