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Lee–Carter mortality forecasting: a parallel generalized linear modelling approach for England and Wales mortality projections

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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. Rob Hyndman & Heather Booth & Farah Yasmeen, 2013. "Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models," Demography, Springer;Population Association of America (PAA), vol. 50(1), pages 261-283, February.
  3. Mariarosaria Coppola & Valeria D'Amato, 2012. "Backtesting the solvency capital requirement for longevity risk," Journal of Risk Finance, Emerald Group Publishing, vol. 13(4), pages 309-319, August.
  4. 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.
  5. Hans Oluf Hansen, 2015. "Modeling and projecting mortality. A new model of heterogeneity and selection in survivorship," Discussion Papers 15-16, University of Copenhagen. Department of Economics.
  6. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.
  7. Li, Jackie & Haberman, Steven, 2015. "On the effectiveness of natural hedging for insurance companies and pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 286-297.
  8. 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.
  9. Maria Carannante & Valeria D’Amato & Paola Fersini & Salvatore Forte & Giuseppe Melisi, 2022. "Disruption of Life Insurance Profitability in the Aftermath of the COVID-19 Pandemic," Risks, MDPI, vol. 10(2), pages 1-16, February.
  10. 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.
  11. Yang, Bowen & Li, Jackie & Balasooriya, Uditha, 2015. "Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 16-27.
  12. Pitacco, Ermanno, 2004. "Survival models in a dynamic context: a survey," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 279-298, October.
  13. Han Lin Shang, 2012. "Point and interval forecasts of age-specific life expectancies," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 27(21), pages 593-644.
  14. 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.
  15. Tim J. Boonen & Hong Li, 2017. "Modeling and Forecasting Mortality With Economic Growth: A Multipopulation Approach," Demography, Springer;Population Association of America (PAA), vol. 54(5), pages 1921-1946, October.
  16. D’Amato, Valeria & Haberman, Steven & Piscopo, Gabriella & Russolillo, Maria, 2012. "Modelling dependent data for longevity projections," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 694-701.
  17. Hyndman, Rob J. & Shahid Ullah, Md., 2007. "Robust forecasting of mortality and fertility rates: A functional data approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(10), pages 4942-4956, June.
  18. Carfora, M.F. & Cutillo, L. & Orlando, A., 2017. "A quantitative comparison of stochastic mortality models on Italian population data," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 198-214.
  19. Heather Booth & Rob Hyndman & Leonie Tickle & Piet de Jong, 2006. "Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 15(9), pages 289-310.
  20. Dorina Lazar & Michel M. Denuit, 2009. "A multivariate time series approach to projected life tables," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(6), pages 806-823, November.
  21. Hyndman, Rob J. & Booth, Heather, 2008. "Stochastic population forecasts using functional data models for mortality, fertility and migration," International Journal of Forecasting, Elsevier, vol. 24(3), pages 323-342.
  22. Qi Ming, 2013. "The Impact of Mortality Risk on the Asset and Liability Management of Insurance Companies," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 7(2), pages 81-104, July.
  23. Laurent Callot & Niels Haldrup & Malene Kallestrup-Lamb, 2016. "Deterministic and stochastic trends in the Lee–Carter mortality model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(7), pages 486-493, May.
  24. Renshaw, A.E. & Haberman, S., 2008. "On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 797-816, April.
  25. Benchimol, Andrés, 2017. "Proyección de mortalidad en España mediante mixturas de modelos y análisis del impacto económico del riesgo de longevidad /Mortality Projection in Spain through Mixtures of Models and Analysis of the ," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 35, pages 341-366, Mayo.
  26. Graziani, Rebecca & NIGRI, ANDREA, 2023. "An Age–Period–Cohort Model in a Dirichlet Framework: A Coherent Causes of Death Estimation," SocArXiv 856yw, Center for Open Science.
  27. 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.
  28. Heinemann, A., 2013. "Sieve bootstrapping in the Lee-Carter model," Research Memorandum 069, Maastricht University, Graduate School of Business and Economics (GSBE).
  29. Hunt, Andrew & Villegas, Andrés M., 2015. "Robustness and convergence in the Lee–Carter model with cohort effects," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 186-202.
  30. Azizur Rahman & Depeng Jiang, 2023. "Forecasting Canadian Age-Specific Mortality Rates: Application of Functional Time Series Analysis," Mathematics, MDPI, vol. 11(18), pages 1-14, September.
  31. Marcos Postigo-Boix & Ramón Agüero & José L Melús-Moreno, 2019. "An alternative procedure to obtain the mortality rate with non-linear functions: Application to the case of the Spanish population," PLOS ONE, Public Library of Science, vol. 14(10), pages 1-16, October.
  32. Debón, A. & Chaves, L. & Haberman, S. & Villa, F., 2017. "Characterization of between-group inequality of longevity in European Union countries," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 151-165.
  33. 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.
  34. da Rocha Neves, Cesar & Migon, Helio S., 2007. "Bayesian graduation of mortality rates: An application to reserve evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 424-434, May.
  35. S. Haberman & A. E. Renshaw, 2009. "Measurement of Longevity Risk Using Bootstrapping for Lee–Carter and Generalised Linear Poisson Models of Mortality," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 443-461, September.
  36. 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.
  37. Härdle, Wolfgang Karl & Myšičková, Alena, 2009. "Stochastic population forecast for Germany and its consequence for the German pension system," SFB 649 Discussion Papers 2009-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  38. Philippe Deprez & Pavel V. Shevchenko & Mario V. Wuthrich, 2017. "Machine Learning Techniques for Mortality Modeling," Papers 1705.03396, arXiv.org.
  39. Syazreen Shair & Sachi Purcal & Nick Parr, 2017. "Evaluating Extensions to Coherent Mortality Forecasting Models," Risks, MDPI, vol. 5(1), pages 1-20, March.
  40. Ka Kin Lam & Bo Wang, 2021. "Robust Non-Parametric Mortality and Fertility Modelling and Forecasting: Gaussian Process Regression Approaches," Forecasting, MDPI, vol. 3(1), pages 1-21, March.
  41. Ornelas, Arelly & Guillén, Montserrat, 2013. "A Comparison between General Population Mortality and Life Tables for Insurance in Mexico under Gender Proportion Inequality || Una comparación entre la mortalidad de la población general y las tablas," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 16(1), pages 47-67, December.
  42. Markéta Arltová & Jitka Langhamrová & Jana Langhamrová, 2013. "Development of Life Expectancy in the Czech Republic in Years 1920-2010 with an Outlook to 2050," Prague Economic Papers, Prague University of Economics and Business, vol. 2013(1), pages 125-143.
  43. 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.
  44. 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.
  45. 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.
  46. Montserrat Guillen & Antoni Vidiella‐i‐Anguera, 2005. "Forecasting Spanish Natural Life Expectancy," Risk Analysis, John Wiley & Sons, vol. 25(5), pages 1161-1170, October.
  47. Shang, Han Lin & Smith, Peter W.F. & Bijak, Jakub & Wiśniowski, Arkadiusz, 2016. "A multilevel functional data method for forecasting population, with an application to the United Kingdom," International Journal of Forecasting, Elsevier, vol. 32(3), pages 629-649.
  48. 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.
  49. Jorge Miguel Ventura Bravo, 2012. "Prospective Lifetables: Life Insurance Pricing and Hedging in a Stochastic Mortality Environment," CEFAGE-UE Working Papers 2012_01, University of Evora, CEFAGE-UE (Portugal).
  50. Ekheden, Erland & Hössjer, Ola, 2015. "Multivariate time series modeling, estimation and prediction of mortalities," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 156-171.
  51. Han Lin Shang & Rob J Hyndman & Heather Booth, 2010. "A comparison of ten principal component methods for forecasting mortality rates," Monash Econometrics and Business Statistics Working Papers 8/10, Monash University, Department of Econometrics and Business Statistics.
  52. Carlo G. Camarda & Ugofilippo Basellini, 2021. "Smoothing, Decomposing and Forecasting Mortality Rates," European Journal of Population, Springer;European Association for Population Studies, vol. 37(3), pages 569-602, July.
  53. Haberman, Steven & Renshaw, Arthur, 2011. "A comparative study of parametric mortality projection models," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 35-55, January.
  54. Han Lin Shang & Heather Booth & Rob Hyndman, 2011. "Point and interval forecasts of mortality rates and life expectancy: A comparison of ten principal component methods," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 25(5), pages 173-214.
  55. Kaishev, Vladimir K. & Dimitrova, Dimitrina S. & Haberman, Steven, 2007. "Modelling the joint distribution of competing risks survival times using copula functions," Insurance: Mathematics and Economics, Elsevier, vol. 41(3), pages 339-361, November.
  56. Debon, A. & Montes, F. & Mateu, J. & Porcu, E. & Bevilacqua, M., 2008. "Modelling residuals dependence in dynamic life tables: A geostatistical approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3128-3147, February.
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