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An investigation into parametric models for mortality projections, with applications to immediate annuitants' and life office pensioners' data

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  • Sithole, Terry Z.
  • Haberman, Steven
  • Verrall, Richard J.

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  • Sithole, Terry Z. & Haberman, Steven & Verrall, Richard J., 2000. "An investigation into parametric models for mortality projections, with applications to immediate annuitants' and life office pensioners' data," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 285-312, December.
    • Handle: RePEc:eee:insuma:v:27:y:2000:i:3:p:285-312
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    References listed on IDEAS

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    1. Renshaw, A.E. & Hatzopoulos, P., 1996. "On the Graduation of ‘Amounts’," British Actuarial Journal, Cambridge University Press, vol. 2(1), pages 185-205, April.
    2. Renshaw, A.E. & Haberman, S. & Hatzopoulos, P., 1996. "The Modelling of Recent Mortality Trends in United Kingdom Male Assured Lives," British Actuarial Journal, Cambridge University Press, vol. 2(2), pages 449-477, June.
    3. Renshaw, A. E. & Haberman, S., 1997. "Dual modelling and select mortality," Insurance: Mathematics and Economics, Elsevier, vol. 19(2), pages 105-126, April.
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    Cited by:

    1. Booth, Heather, 2006. "Demographic forecasting: 1980 to 2005 in review," International Journal of Forecasting, Elsevier, vol. 22(3), pages 547-581.
    2. Michel Denuit, 2009. "Life Anuities with Stochastic Survival Probabilities: A Review," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 463-489, September.
    3. Zhang, Xuanming & Huang, Fei & Hui, Francis K.C. & Haberman, Steven, 2023. "Cause-of-death mortality forecasting using adaptive penalized tensor decompositions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 193-213.
    4. Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K., 2002. "A Poisson log-bilinear regression approach to the construction of projected lifetables," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 373-393, December.
    5. Feng, Xinlong & He, Guoliang & Abdurishit,, 2008. "Estimation of parameters of the Makeham distribution using the least squares method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 34-44.
    6. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
    7. Rabitti, Giovanni & Borgonovo, Emanuele, 2020. "Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 48-58.
    8. Pitacco, Ermanno, 2004. "Survival models in a dynamic context: a survey," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 279-298, October.
    9. Czado, Claudia & Delwarde, Antoine & Denuit, Michel, 2005. "Bayesian Poisson log-bilinear mortality projections," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 260-284, June.
    10. Cox, Samuel H. & Lin, Yijia & Pedersen, Hal, 2010. "Mortality risk modeling: Applications to insurance securitization," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 242-253, February.
    11. Hatzopoulos, P. & Haberman, S., 2009. "A parameterized approach to modeling and forecasting mortality," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 103-123, February.
    12. Haberman, Steven & Khalaf-Allah, Marwa & Verrall, Richard, 2011. "Entropy, longevity and the cost of annuities," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 197-204, March.
    13. George Atsalakis & Dimitrios Nezis & George Matalliotakis & Camelia Ioana Ucenic & Christos Skiadas, 2008. "Forecasting Mortality Rate Using a Neural Network with Fuzzy Inference System," Working Papers 0806, University of Crete, Department of Economics.
    14. Ahmadi, Seyed Saeed & Gaillardetz, Patrice, 2015. "Modeling mortality and pricing life annuities with Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 337-350.
    15. Debón, A. & Montes, F. & Puig, F., 2008. "Modelling and forecasting mortality in Spain," European Journal of Operational Research, Elsevier, vol. 189(3), pages 624-637, September.
    16. Lin, Yijia & Cox, Samuel H., 2008. "Securitization of catastrophe mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 628-637, April.
    17. Hatzopoulos, P. & Haberman, S., 2011. "A dynamic parameterization modeling for the age-period-cohort mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 155-174, September.
    18. Ballotta, Laura & Haberman, Steven, 2006. "The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 195-214, February.
    19. Hua Chen & Samuel H. Cox, 2009. "Modeling Mortality With Jumps: Applications to Mortality Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 727-751, September.
    20. Hari, N., 2007. "Modeling mortality : Empirical studies on the effect of mortality on annuity markets," Other publications TiSEM a31eb479-4ce0-404a-b5c8-f, Tilburg University, School of Economics and Management.
    21. Khalaf-Allah, M. & Haberman, S. & Verrall, R., 2006. "Measuring the effect of mortality improvements on the cost of annuities," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 231-249, October.
    22. Tickle Leonie & Booth Heather, 2014. "The Longevity Prospects of Australian Seniors: An Evaluation of Forecast Method and Outcome," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 8(2), pages 259-292, July.
    23. Lin, Tzuling & Tzeng, Larry Y., 2010. "An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 423-435, April.

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