On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling

DOI10.1016/J.INSMATHECO.2007.08.009zbMath1152.91598OpenAlexW2101759220MaRDI QIDQ998298

Arthur E. Renshaw, Steven Haberman

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.2007.08.009

zbMATH Keywords

over-dispersionjoint modellingmortality projectionsmortality statisticsnegative binomial modellingPoisson modellingsimulated risk

Mathematics Subject Classification ID

Related Items (31)

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Uses Software

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Cites Work

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• Distribution of the random future life expectancies in log-bilinear mortality projection models
• On the forecasting of mortality reduction factors
• Lee-Carter mortality forecasting with age-specific enhancement.
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
• Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
• Negative binomial version of the Lee–Carter model for mortality forecasting
• Bootstrapping the Poisson log-bilinear model for mortality forecasting

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