Bayesian Poisson log-bilinear mortality projections

DOI10.1016/j.insmatheco.2005.01.001zbMath1110.62142OpenAlexW2109915710MaRDI QIDQ882853

Antoine Delwarde, Claudia Czado, Michel M. Denuit

Publication date: 24 May 2007

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

Full work available at URL: https://epub.ub.uni-muenchen.de/1768/1/paper_398.pdf

zbMATH Keywords

Poisson regressionMCMCExpected remaining lifetimesProjected lifetables

Mathematics Subject Classification ID

Related Items (52)

Exchangeable mortality projection ⋮ Bayesian mortality forecasting with overdispersion ⋮ EXTENDING THE LEE–CARTER MODEL WITH VARIATIONAL AUTOENCODER: A FUSION OF NEURAL NETWORK AND BAYESIAN APPROACH ⋮ Life anuities with stochastic survival probabilities: A review ⋮ The forecasting performance of mortality models ⋮ Case study of Swiss mortality using Bayesian modeling ⋮ Statistical emulators for pricing and hedging longevity risk products ⋮ Fuzzy formulation of the Lee-Carter model for mortality forecasting ⋮ A multivariate evolutionary credibility model for mortality improvement rates ⋮ A BAYESIAN JOINT MODEL FOR POPULATION AND PORTFOLIO-SPECIFIC MORTALITY ⋮ Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations ⋮ A Hidden Markov Approach to Disability Insurance ⋮ Pricing reverse mortgages in Spain ⋮ Green nested simulation via likelihood ratio: applications to longevity risk management ⋮ Bayesian graduation of mortality rates: an application to reserve evaluation ⋮ A Bayesian non-parametric model for small population mortality ⋮ A class of random field memory models for mortality forecasting ⋮ Semi-parametric extensions of the Cairns-Blake-Dowd model: a one-dimensional kernel smoothing approach ⋮ Modelling mortality: A bayesian factor-augmented var (favar) approach ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Bayesian Poisson log-bilinear models for mortality projections with multiple populations ⋮ Small population bias and sampling effects in stochastic mortality modelling ⋮ Research on a grey prediction model of population growth based on a logistic approach ⋮ Stochastic Mortality Modeling: Key Drivers and Dependent Residuals ⋮ Bayesian age-stratified joinpoint regression model: an application to lung and brain cancer mortality ⋮ A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions ⋮ Pricing longevity risk with the parametric bootstrap: a maximum entropy approach ⋮ Segmentation of mortality surfaces by hidden Markov models ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ The choice of sample size for mortality forecasting: a Bayesian learning approach ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Association and heterogeneity of insured lifetimes in the Lee–Carter framework ⋮ Bayesian value-at-risk backtesting: the case of annuity pricing ⋮ GAUSSIAN PROCESS MODELS FOR MORTALITY RATES AND IMPROVEMENT FACTORS ⋮ Modeling and pricing longevity derivatives using Skellam distribution ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ A comparative study of pricing approaches for longevity instruments ⋮ Modelling and management of mortality risk: a review ⋮ MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS ⋮ Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting ⋮ Mortality projections for non-converging groups of populations ⋮ A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates ⋮ Efficient and accurate approximate Bayesian inference with an application to insurance data ⋮ Discussion on: ``Exchangeable mortality projection ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach ⋮ Measuring Basis Risk in Longevity Hedges ⋮ Hierarchical Bayesian modeling of multi-country mortality rates ⋮ Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk ⋮ Bayesian population projections for the united nations ⋮ A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States ⋮ Longevity hedge effectiveness: a decomposition

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Lee-Carter mortality forecasting with age-specific enhancement.
• Non-life rate-making with Bayesian GAMs
• Mortality modeling: A review
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
• A Biometrics Invited Paper with Discussion: The Natural Variability of Vital Rates and Associated Statistics
• Bayesian Measures of Model Complexity and Fit
• Bayesian Analysis of Mortality Data
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data

This page was built for publication: Bayesian Poisson log-bilinear mortality projections