Bayesian Poisson log-bilinear models for mortality projections with multiple populations

DOI10.1007/S13385-015-0115-6MaRDI QIDQ903671zbMATHOpenAlexFDO

Authors Katrien Antonio, A. Bardoutsos, Wilbert Ouburg

Publication date 15 January 2016

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://lirias.kuleuven.be/handle/123456789/625697

zbMATH Keywords

Bayesian statisticsPoisson regressionLi-Lee modelaugmented common factor modelmulti-population stochastic mortality modelsone factor Lee-Carter modelprojected life tablestwo factor Lee-Carter model

Mathematics Subject Classification ID

Bayesian inference (62F15) Mathematical geography and demography (91D20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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Cited in

(32)

• Bayesian Poisson log-bilinear mortality projections
• Semiparametric regression for dual population mortality
• A neural-network analyzer for mortality forecast
• Smoothing Poisson common factor model for projecting mortality jointly for both sexes
• Volterra mortality model: actuarial valuation and risk management with long-range dependence
• Bayesian graduation of mortality rates: an application to reserve evaluation
• Bayesian mortality forecasting with overdispersion
• Longevity risk and capital markets: the 2019--20 update
• Exchangeable mortality projection
• A Bayesian forecasting model: predicting U.S. male mortality
• Modelling mortality: A bayesian factor-augmented var (favar) approach
• A comparative study of two-population models for the assessment of basis risk in longevity hedges
• Estimation and extrapolation of time trends in registry data -- borrowing strength from related populations
• Multi-population mortality models: fitting, forecasting and comparisons
• Hierarchical Bayesian modeling of multi-country mortality rates
• Stochastic Mortality Models and Pandemic Shocks
• A Bayesian joint model for population and portfolio-specific mortality
• Bayesian Analysis of Mortality Data
• A Bayesian non-parametric model for small population mortality
• Segmentation of mortality surfaces by hidden Markov models
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A continuous-time stochastic model for the mortality surface of multiple populations
• Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach
• A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates
• Case study of Swiss mortality using Bayesian modeling
• Multi-population modelling and forecasting life-table death counts
• Mortality projections for non-converging groups of populations
• Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard
• PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE
• A logistic two-population mortality projection model for modelling mortality at advanced ages for both sexes
• Coherent mortality forecasting by the weighted multilevel functional principal component approach
• Multi-population mortality modeling with Lévy processes

Describes a project that uses

Uses Software

• R
• GMRFLib
• BayesDA

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