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Modelling life tables with advanced ages: An extreme value theory approach

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  • Huang, Fei
  • Maller, Ross
  • Ning, Xu

Abstract

We propose a new model – we call it a smoothed threshold life table (STLT) model – to generate life tables incorporating information on advanced ages. Our method allows a smooth mortality transition from non-extreme to extreme ages, and provides objectively determined highest attained ages with which to close the life table.

Suggested Citation

  • Huang, Fei & Maller, Ross & Ning, Xu, 2020. "Modelling life tables with advanced ages: An extreme value theory approach," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 95-115.
    • Handle: RePEc:eee:insuma:v:93:y:2020:i:c:p:95-115
    DOI: 10.1016/j.insmatheco.2020.04.004
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    References listed on IDEAS

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    Cited by:

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    2. He, Lingyu & Huang, Fei & Shi, Jianjie & Yang, Yanrong, 2021. "Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 14-34.

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    More about this item

    Keywords

    Advanced age mortality; Extreme value theory; Generalised Pareto distribution; Gompertz model; Life table;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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