Bayesian graduation of mortality rates: an application to reserve evaluation

DOI10.1016/j.insmatheco.2006.06.005zbMath1183.91068OpenAlexW2112521338MaRDI QIDQ882465

César Da Rocha Neves, Helio S. Migon

Publication date: 23 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.06.005

zbMATH Keywords

MCMCvalue at riskpredictive distributiondynamic modelsBayesian graduationBayesian mortality tablemathematical reserve

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation ⋮ Divergences without probability vectors and their applications

Uses Software

• WinBUGS

Cites Work

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• Bayesian Poisson log-bilinear mortality projections
• The fitting of parameter-constrained demographic models
• Hierarchical Bayesian collective risk model: an application to health insurance
• Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
• Dynamic Generalized Linear Models and Bayesian Forecasting
• A New Algorithm for Spline Smoothing Based on Smoothing a Stochastic Process
• Model choice: a minimum posterior predictive loss approach
• Bayesian Measures of Model Complexity and Fit

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