Mortality modelling. Model specification and mortality forecast accuracy
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Andrew Hunt & David Blake, 2014. "A General Procedure for Constructing Mortality Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 116-138.
- Andrew Cairns & David Blake & Kevin Dowd & Guy Coughlan & David Epstein & Alen Ong & Igor Balevich, 2009. "A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States," North American Actuarial Journal, Taylor & Francis Journals, vol. 13(1), pages 1-35.
- Plat, Richard, 2009. "On stochastic mortality modeling," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 393-404, December.
- Andrew J. G. Cairns & David Blake & Kevin Dowd, 2006. "A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 687-718, December.
- Harvey, Andrew, 2006. "Forecasting with Unobserved Components Time Series Models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 7, pages 327-412, Elsevier.
- Renshaw, A.E. & Haberman, S., 2006. "A cohort-based extension to the Lee-Carter model for mortality reduction factors," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 556-570, June.
- 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.
- 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.
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 & 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.
- 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.
- Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
- Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
- David Atance & Ana Debón & Eliseo Navarro, 2020. "A Comparison of Forecasting Mortality Models Using Resampling Methods," Mathematics, MDPI, vol. 8(9), pages 1-21, September.
- 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.
- Ugofilippo Basellini & Søren Kjærgaard & Carlo Giovanni Camarda, 2020. "An age-at-death distribution approach to forecast cohort mortality," Working Papers axafx5_3agsuwaphvlfk, French Institute for Demographic Studies.
- Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2016. "A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting," Papers 1605.09484, arXiv.org.
- Basellini, Ugofilippo & Kjærgaard, Søren & Camarda, Carlo Giovanni, 2020. "An age-at-death distribution approach to forecast cohort mortality," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 129-143.
- Colin O’hare & Youwei Li, 2017.
"Modelling mortality: are we heading in the right direction?,"
Applied Economics, Taylor & Francis Journals, vol. 49(2), pages 170-187, January.
- O'Hare, Colin & Li, Youwei, 2016. "Modelling mortality: Are we heading in the right direction?," MPRA Paper 71392, University Library of Munich, Germany.
- Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
- Apostolos Bozikas & Georgios Pitselis, 2018. "An Empirical Study on Stochastic Mortality Modelling under the Age-Period-Cohort Framework: The Case of Greece with Applications to Insurance Pricing," Risks, MDPI, vol. 6(2), pages 1-34, April.
- Colin O’hare & Youwei Li, 2017.
"Models of mortality rates – analysing the residuals,"
Applied Economics, Taylor & Francis Journals, vol. 49(52), pages 5309-5323, November.
- O'Hare, Colin & Li, Youwei, 2016. "Models of Mortality rates - analysing the residuals," MPRA Paper 71394, University Library of Munich, Germany.
- Jaap Spreeuw & Iqbal Owadally & Muhammad Kashif, 2022. "Projecting Mortality Rates Using a Markov Chain," Mathematics, MDPI, vol. 10(7), pages 1-18, April.
- James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
- Doukhan, P. & Pommeret, D. & Rynkiewicz, J. & Salhi, Y., 2017. "A class of random field memory models for mortality forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 97-110.
- Rachel WINGENBACH & Jong-Min KIM & Hojin JUNG, 2020. "Living Longer in High Longevity Risk," JODE - Journal of Demographic Economics, Cambridge University Press, vol. 86(1), pages 47-86, March.
- O’Hare, Colin & Li, Youwei, 2012. "Explaining young mortality," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 12-25.
- Li, Han & O’Hare, Colin & Zhang, Xibin, 2015. "A semiparametric panel approach to mortality modeling," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 264-270.
- Han Lin Shang & Steven Haberman, 2020. "Retiree Mortality Forecasting: A Partial Age-Range or a Full Age-Range Model?," Risks, MDPI, vol. 8(3), pages 1-11, July.
More about this item
Keywords
stochastic mortality models; forecasting mortality;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:sgh:annals:i:51:y:2018:p:13-36. 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: Michał Bernardelli (email available below). General contact details of provider: https://edirc.repec.org/data/sgwawpl.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.