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

DOI10.1007/S13385-015-0115-6MaRDI QIDQ903671zbMATH OpenOpenAlexFDO

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

augmented common factor modelBayesian statisticsLi-Lee modelmulti-population stochastic mortality modelsone factor Lee-Carter modelPoisson regressionprojected life tablestwo factor Lee-Carter model

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(35)

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

Describes a project that uses

Uses Software

• R
• GMRFLib
• BayesDA

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