Estimating the term structure of mortality

DOI10.1016/J.INSMATHECO.2007.01.011MaRDI QIDQ998262zbMATH OpenOpenAlexFDO

Authors Norbert Hári, Anja De Waegenaere, Bertrand Melenberg, Theo Nijman

Publication date 28 January 2009

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2007.01.011

zbMATH Keywords

mortality forecastingparameter riskstate-space modeling

Mathematics Subject Classification ID

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Cites work

• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• scientific article; zbMATH DE number 1001734 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Lee-Carter mortality forecasting with age-specific enhancement.
• Modeling and forecasting U.S. mortality. (With discussion)
• On the forecasting of mortality reduction factors
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• Time series analysis by state space methods

Cited in

(24)

• On the forecasting of mortality reduction factors
• Modeling and forecasting duration-dependent mortality rates
• Longevity risk and capital markets: the 2015--16 update
• Modeling trend processes in parametric mortality models
• On the mortality/longevity risk hedging with mortality immunization
• It takes two: why mortality trend modeling is more than modeling one mortality trend
• Longevity risk and capital markets: the 2019--20 update
• Explaining Young mortality
• Multidimensional Lee-Carter model with switching mortality processes
• Stochastic Mortality: The Impact on Target Capital
• The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
• Incorporating the Bühlmann credibility into mortality models to improve forecasting performances
• Editorial: Longevity risk and capital markets: the 2013--14 update
• Longevity Risk and Capital Markets: The 2017–2018 Update
• Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
• Stochastic mortality model in a state-space framework
• Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans
• A Bühlmann credibility approach to modeling mortality rates
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
• Dynamic mortality factor model with conditional heteroskedasticity
• Longevity risk and capital markets: the 2008-2009 update
• Mortality risk modeling: applications to insurance securitization
• Longevity risk in portfolios of pension annuities

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