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

Official website: https://cran.r-project.org/web/packages/StMoMo/index.html

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 (48)

• On the Structure and Classification of Mortality Models
• A new inference strategy for general population mortality tables
• Sequential design and spatial modeling for portfolio tail risk measurement
• Addressing the life expectancy gap in pension policy
• Using Taiwan national health insurance database to model cancer incidence and mortality rates
• iMoMo
• The Lee-Carter quantile mortality model
• Calibrating the Lee-Carter and the Poisson Lee-Carter models via neural networks
• 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
• 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
• dtw
• gnm
• MortalitySmooth
• LifeMetrics
• Human Mortality
• dtwclust
• EnsemblePCReg
• TREE-BASED MACHINE LEARNING METHODS FOR MODELING AND FORECASTING MORTALITY
• lifecontingencies
• fanplot
• ilc
• MortalityLaws
• sparsevar
• mss
• RobRSVD
• 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
• CoMoMo
• Introducing and evaluating a new multiple-component stochastic mortality model
• Modeling and pricing longevity derivatives using Skellam distribution
• BayesMortalityPlus
• The double-gap life expectancy forecasting model
• A strategy for hedging risks associated with period and cohort effects using q-forwards

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