StMoMo

swMATH22098CRANStMoMoMaRDI QIDQ33894FDOQ33894

Stochastic Mortality Modelling

Andres Villegas

Last update: 13 April 2018

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.4.1

Source code repository: https://github.com/cran/StMoMo

Cites work

• A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration
• Modeling and Forecasting U. S. Mortality

Described by source

• A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS

Cited In (31)

• On the Structure and Classification of Mortality Models
• Addressing the life expectancy gap in pension policy
• Using Taiwan national health insurance database to model cancer incidence and mortality rates
• The Lee-Carter quantile mortality model
• Financial position and performance in IFRS 17
• Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
• The maximum entropy mortality model: forecasting mortality using statistical moments
• Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
• Introducing and Evaluating a New Multiple-Component Stochastic Mortality Model
• Constructing dynamic life tables with a single-factor model
• Bayesian value-at-risk backtesting: the case of annuity pricing
• Cause of death specific cohort effects in U.S. mortality
• Mortality data correction in the absence of monthly fertility records
• Mortality forecasting using stacked regression ensembles
• A random forest algorithm to improve the Lee-Carter mortality forecasting: impact on q-forward
• A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE
• Forecasting mortality rate improvements with a high-dimensional VAR
• An age-at-death distribution approach to forecast cohort mortality
• TREE-BASED MACHINE LEARNING METHODS FOR MODELING AND FORECASTING MORTALITY
• A NEW INFERENCE STRATEGY FOR GENERAL POPULATION MORTALITY TABLES
• A comparative study of pricing approaches for longevity instruments
• Efficient use of data for LSTM mortality forecasting
• The slowdown in mortality improvement rates 2011--2017: a multi-country analysis
• Semi-parametric extensions of the Cairns-Blake-Dowd model: a one-dimensional kernel smoothing approach
• clmplus
• A new measure of mortality differentials based on precedence probability
• Machine learning techniques for mortality modeling
• Modeling and pricing longevity derivatives using Skellam distribution
• The double-gap life expectancy forecasting model
• A strategy for hedging risks associated with period and cohort effects using q-forwards
• CALIBRATING THE LEE-CARTER AND THE POISSON LEE-CARTER MODELS VIA NEURAL NETWORKS

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