A common age effect model for the mortality of multiple populations
Author
Abstract
Suggested Citation
DOI: 10.1016/j.insmatheco.2015.03.023
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Kleinow, Torsten & Cairns, Andrew J.G., 2013. "Mortality and smoking prevalence: An empirical investigation in ten developed countries," British Actuarial Journal, Cambridge University Press, vol. 18(2), pages 452-466, July.
- Nan Li & Ronald Lee, 2005. "Coherent mortality forecasts for a group of populations: An extension of the lee-carter method," Demography, Springer;Population Association of America (PAA), vol. 42(3), pages 575-594, August.
- Carter, Lawrence R. & Lee, Ronald D., 1992. "Modeling and forecasting US sex differentials in mortality," International Journal of Forecasting, Elsevier, vol. 8(3), pages 393-411, November.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Simon Schnürch & Torsten Kleinow & Ralf Korn, 2021. "Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model," Risks, MDPI, vol. 9(3), pages 1-32, March.
- Snorre Jallbjørn & Søren Fiig Jarner, 2022. "Sex Differential Dynamics in Coherent Mortality Models," Forecasting, MDPI, vol. 4(4), pages 1-26, September.
- Salvatore Scognamiglio & Mario Marino, 2023. "Backtesting stochastic mortality models by prediction interval-based metrics," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(4), pages 3825-3847, August.
- Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
- Bruszas, Sandy & Kaschützke, Barbara & Maurer, Raimond & Siegelin, Ivonne, 2018. "Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 230-245.
- Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018.
"Longevity risk and capital markets: The 2015–16 update,"
Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
- David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
- Bozikas, Apostolos & Pitselis, Georgios, 2020. "Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 353-368.
- Geert Zittersteyn & Jennifer Alonso-García, 2021. "Common Factor Cause-Specific Mortality Model," Risks, MDPI, vol. 9(12), pages 1-30, December.
- Nhan Huynh & Mike Ludkovski, 2021. "Joint Models for Cause-of-Death Mortality in Multiple Populations," Papers 2111.06631, arXiv.org.
- Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2023. "Thirty years on: A review of the Lee–Carter method for forecasting mortality," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1033-1049.
- Francesca Perla & Salvatore Scognamiglio, 2023. "Locally-coherent multi-population mortality modelling via neural networks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 157-176, June.
- Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
- Li, Hong & Shi, Yanlin, 2021. "Forecasting mortality with international linkages: A global vector-autoregression approach," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 59-75.
- Qian Lu & Katja Hanewald & Xiaojun Wang, 2021. "Subnational Mortality Modelling: A Bayesian Hierarchical Model with Common Factors," Risks, MDPI, vol. 9(11), pages 1-21, November.
- McCarthy, David G. & Wang, Po-Lin, 2021. "Pooling mortality risk in Eurozone state pension liabilities: An application of a Bayesian coherent multi-population cohort-based mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 459-485.
- Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2022. "Thirty years on: A review of the Lee-Carter method for forecasting mortality," SocArXiv 8u34d, Center for Open Science.
- Massimiliano Menzietti & Maria Francesca Morabito & Manuela Stranges, 2019. "Mortality Projections for Small Populations: An Application to the Maltese Elderly," Risks, MDPI, vol. 7(2), pages 1-25, March.
- Corsaro, Stefania & Marino, Zelda & Scognamiglio, Salvatore, 2024. "Quantile mortality modelling of multiple populations via neural networks," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 114-133.
- Li, Johnny Siu-Hang & Liu, Yanxin, 2020. "The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 1-26.
- Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
- Jackie Li & Leonie Tickle & Nick Parr, 2016. "A multi-population evaluation of the Poisson common factor model for projecting mortality jointly for both sexes," Journal of Population Research, Springer, vol. 33(4), pages 333-360, December.
- Wang, Pengjie & Pantelous, Athanasios A. & Vahid, Farshid, 2023. "Multi-population mortality projection: The augmented common factor model with structural breaks," International Journal of Forecasting, Elsevier, vol. 39(1), pages 450-469.
- Kenneth Wong & Jackie Li & Sixian Tang, 2020. "A modified common factor model for modelling mortality jointly for both sexes," Journal of Population Research, Springer, vol. 37(2), pages 181-212, June.
- Hanbali, Hamza & Dhaene, Jan & Linders, Daniël, 2022. "Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 22-37.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
- Simon Schnürch & Torsten Kleinow & Ralf Korn, 2021. "Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model," Risks, MDPI, vol. 9(3), pages 1-32, March.
- Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018.
"Longevity risk and capital markets: The 2015–16 update,"
Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
- David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
- Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
- de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2020. "A more meaningful parameterization of the Lee–Carter model," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 1-8.
- David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017.
"Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
- David Blake & Marco Morales, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 273-277, April.
- David Blake & Marco Morales & Hua Chen & Richard D. MacMinn & Tao Sun, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 393-415, April.
- David Blake & Marco Morales & Hong Li & Anja Waegenaere & Bertrand Melenberg, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 459-475, April.
- David Blake & Marco Morales & Kenneth Q. Zhou & Johnny Siu-Hang Li, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 417-437, April.
- David Blake & Marco Morales & Jing Ai & Patrick L. Brockett & Linda L. Golden & Wei Zhu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 319-343, April.
- David Blake & Marco Morales & Yijia Lin & Richard D. MacMinn & Ruilin Tian & Jifeng Yu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 345-365, April.
- David Blake & Marco Morales & Richard MacMinn & Patrick Brockett, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 299-317, April.
- David Blake & Marco Morales & Richard D. MacMinn & Nan Zhu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 439-458, April.
- David Blake & Marco Morales & David Blake & Marco Morales, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 279-297, April.
- David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
- David Blake & Marco Morales & Andreas Milidonis & Maria Efthymiou, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 495-514, April.
- David Blake & Marco Morales & Yijia Lin & Tianxiang Shi & Ayşe Arik, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 367-392, April.
- Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015.
"Bayesian Poisson log-bilinear models for mortality projections with multiple populations,"
BAFFI CAREFIN Working Papers
1505, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 485564, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
- Koissi, Marie-Claire & Shapiro, Arnold F., 2006. "Fuzzy formulation of the Lee-Carter model for mortality forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 287-309, December.
- French, Declan, 2014. "International mortality modelling—An economic perspective," Economics Letters, Elsevier, vol. 122(2), pages 182-186.
- Schinzinger, Edo & Denuit, Michel M. & Christiansen, Marcus C., 2016. "A multivariate evolutionary credibility model for mortality improvement rates," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 70-81.
- Marie-Pier Bergeron-Boucher & Vladimir Canudas-Romo & James E. Oeppen & James W. Vaupel, 2017. "Coherent forecasts of mortality with compositional data analysis," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 37(17), pages 527-566.
- Feng, Lingbing & Shi, Yanlin & Chang, Le, 2021. "Forecasting mortality with a hyperbolic spatial temporal VAR model," International Journal of Forecasting, Elsevier, vol. 37(1), pages 255-273.
- Jevtić, Petar & Regis, Luca, 2019.
"A continuous-time stochastic model for the mortality surface of multiple populations,"
Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 181-195.
- Peter Jevtic & Luca Regis, 2016. "A continuous-time stochastic model for the mortality surface of multiple populations," Working Papers 03/2016, IMT School for Advanced Studies Lucca, revised Jul 2016.
- de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2016. "Coherent modeling of male and female mortality using Lee–Carter in a complex number framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 130-137.
- Jens Robben & Katrien Antonio & Sander Devriendt, 2022.
"Assessing the Impact of the COVID-19 Shock on a Stochastic Multi-Population Mortality Model,"
Risks, MDPI, vol. 10(2), pages 1-33, January.
- Jens Robben & Katrien Antonio & Sander Devriendt, 2021. "Assessing the impact of the COVID-19 shock on a stochastic multi-population mortality model," Papers 2111.10164, arXiv.org.
- Ayuso, Mercedes & Bravo, Jorge M. & Holzmann, Robert, 2021.
"Getting life expectancy estimates right for pension policy: period versus cohort approach,"
Journal of Pension Economics and Finance, Cambridge University Press, vol. 20(2), pages 212-231, April.
- Ayuso, Mercedes & Bravo, Jorge Miguel & Holzmann, Robert, 2018. "Getting Life Expectancy Estimates Right for Pension Policy: Period versus Cohort Approach," IZA Discussion Papers 11512, Institute of Labor Economics (IZA).
- Mercedes Ayuso & Jorge Miguel Bravo & Robert Holzman, 2018. "Getting Life Expectancy Estimates Right for Pension Policy: Period versus Cohort Approach," CESifo Working Paper Series 7349, CESifo.
- Benjamin Seligman & Gabi Greenberg & Shripad Tuljapurkar, 2016. "Convergence in male and female life expectancy: Direction, age pattern, and causes," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 34(38), pages 1063-1074.
- Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
- Bozikas, Apostolos & Pitselis, Georgios, 2020. "Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 353-368.
- David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
More about this item
Keywords
Mortality of multiple populations; Stochastic mortality model; Longevity; Basis risk; Common age effect;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:63:y:2015:i:c:p:147-152. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.