IDEAS home Printed from https://ideas.repec.org/r/cup/astinb/v41y2011i01p29-59_00.html
   My bibliography  Save this item

Bayesian Stochastic Mortality Modelling for Two Populations

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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.
  2. Yahia Salhi & Stéphane Loisel, 2012. "Basis risk modelling: a co-integration based approach," Working Papers hal-00746859, HAL.
  3. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
  4. Snorre Jallbjørn & Søren Fiig Jarner, 2022. "Sex Differential Dynamics in Coherent Mortality Models," Forecasting, MDPI, vol. 4(4), pages 1-26, September.
  5. Ahcan, Ales & Medved, Darko & Olivieri, Annamaria & Pitacco, Ermanno, 2014. "Forecasting mortality for small populations by mixing mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 12-27.
  6. 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.
  7. 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.
  8. Coughlan, Guy & Khalaf-Allah, Marwa & Ye, Yijing & Kumar, Sumit & Cairns, Andrew & Blake, David & Dowd, Kevin, 2011. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness," MPRA Paper 35743, University Library of Munich, Germany.
  9. Selin Ozen & c{S}ule c{S}ahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Papers 2101.06690, arXiv.org.
  10. Kung, Ko-Lun & MacMinn, Richard D. & Kuo, Weiyu & Tsai, Chenghsien Jason, 2022. "Multi-population mortality modeling: When the data is too much and not enough," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 41-55.
  11. 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.
  12. 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.
  13. Minkun Kim & David Lindberg & Martin Crane & Marija Bezbradica, 2023. "Dirichlet Process Log Skew-Normal Mixture with a Missing-at-Random-Covariate in Insurance Claim Analysis," Econometrics, MDPI, vol. 11(4), pages 1-32, October.
  14. Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping, 2022. "Stochastic mortality dynamics driven by mixed fractional Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 218-238.
  15. Li, Han & O’Hare, Colin, 2017. "Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 166-176.
  16. 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.
  17. 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.
  18. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
  19. 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.
  20. Hong Li & Yang Lu, 2018. "A Bayesian non-parametric model for small population mortality," Post-Print hal-02419000, HAL.
  21. Selin Özen & Şule Şahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Risks, MDPI, vol. 9(2), pages 1-19, February.
  22. 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.
  23. Zhou, Rui & Li, Johnny Siu-Hang & Tan, Ken Seng, 2015. "Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights," Economic Modelling, Elsevier, vol. 51(C), pages 460-472.
  24. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
  25. Cadena, Meitner & Denuit, Michel, 2016. "Semi-parametric accelerated hazard relational models with applications to mortality projections," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 1-16.
  26. Wang, Hsin-Chung & Yue, Ching-Syang Jack & Chong, Chen-Tai, 2018. "Mortality models and longevity risk for small populations," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 351-359.
  27. Uditha Balasooriya & Johnny Siu-Hang Li & Jackie Li, 2020. "The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk," Risks, MDPI, vol. 8(3), pages 1-27, August.
  28. Barigou, Karim & Goffard, Pierre-Olivier & Loisel, Stéphane & Salhi, Yahia, 2023. "Bayesian model averaging for mortality forecasting using leave-future-out validation," International Journal of Forecasting, Elsevier, vol. 39(2), pages 674-690.
  29. 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.
  30. Rui Zhou & Guangyu Xing & Min Ji, 2019. "Changes of Relation in Multi-Population Mortality Dependence: An Application of Threshold VECM," Risks, MDPI, vol. 7(1), pages 1-18, February.
  31. 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.
  32. Hung-Tsung Hsiao & Chou-Wen Wang & I.-Chien Liu & Ko-Lun Kung, 2024. "Mortality improvement neural-network models with autoregressive effects," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 363-383, April.
  33. Kira Henshaw & Waleed Hana & Corina Constantinescu & Dalia Khalil, 2023. "Dependence Modelling of Lifetimes in Egyptian Families," Risks, MDPI, vol. 11(1), pages 1-25, January.
  34. Jackie Li, 2014. "An application of MCMC simulation in mortality projection for populations with limited data," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 30(1), pages 1-48.
  35. Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & Marwa Khalaf-Allah, 2011. "A Gravity Model of Mortality Rates for Two Related Populations," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 334-356.
  36. Jaap Spreeuw & Iqbal Owadally & Muhammad Kashif, 2022. "Projecting Mortality Rates Using a Markov Chain," Mathematics, MDPI, vol. 10(7), pages 1-18, April.
  37. 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.
  38. Redondo Lourés, Cristian & Cairns, Andrew J.G., 2021. "Cause of death specific cohort effects in U.S. mortality," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 190-199.
  39. Yahia Salhi & Stéphane Loisel, 2017. "Basis risk modelling: a co-integration based approach," Post-Print hal-00746859, HAL.
  40. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
  41. 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.
  42. 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.
  43. Li, Hong & De Waegenaere, Anja & Melenberg, Bertrand, 2015. "The choice of sample size for mortality forecasting: A Bayesian learning approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 153-168.
  44. Li, Hong & Lu, Yang, 2017. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," ASTIN Bulletin, Cambridge University Press, vol. 47(2), pages 563-600, May.
  45. Ungolo, Francesco & Kleinow, Torsten & Macdonald, Angus S., 2020. "A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 68-84.
  46. Wan, Cheng & Bertschi, Ljudmila, 2015. "Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 66-75.
  47. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
  48. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
  49. 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.
  50. Liu, Yanxin & Li, Johnny Siu-Hang, 2015. "The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 135-150.
  51. 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.
  52. 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.
  53. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.
  54. Tsai, Cary Chi-Liang & Wu, Adelaide Di, 2020. "Incorporating hierarchical credibility theory into modelling of multi-country mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 37-54.
  55. Li, Han & Chen, Hua, 2024. "Hierarchical mortality forecasting with EVT tails: An application to solvency capital requirement," International Journal of Forecasting, Elsevier, vol. 40(2), pages 549-563.
  56. Ahbab Mohammad Fazle Rabbi & Stefano Mazzuco, 2021. "Mortality Forecasting with the Lee–Carter Method: Adjusting for Smoothing and Lifespan Disparity," European Journal of Population, Springer;European Association for Population Studies, vol. 37(1), pages 97-120, March.
  57. 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.
  58. Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun, 2021. "Gompertz law revisited: Forecasting mortality with a multi-factor exponential model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 268-281.
  59. Kung, Ko-Lun & Liu, I-Chien & Wang, Chou-Wen, 2021. "Modeling and pricing longevity derivatives using Skellam distribution," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 341-354.
  60. 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.
  61. Christina Bohk-Ewald & Marcus Ebeling & Roland Rau, 2017. "Lifespan Disparity as an Additional Indicator for Evaluating Mortality Forecasts," Demography, Springer;Population Association of America (PAA), vol. 54(4), pages 1559-1577, August.
  62. Péter Vékás, 2020. "Rotation of the age pattern of mortality improvements in the European Union," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(3), pages 1031-1048, September.
  63. James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
  64. Lledó, Josep & Pavía, Jose M. & Morillas-Jurado, Francisco G., 2019. "Incorporating big microdata in life table construction: A hypothesis-free estimator," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 138-150.
  65. Shang, Han Lin & Haberman, Steven & Xu, Ruofan, 2022. "Multi-population modelling and forecasting life-table death counts," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 239-253.
  66. Jackie Li & Atsuyuki Kogure, 2021. "Bayesian Mixture Modelling for Mortality Projection," Risks, MDPI, vol. 9(4), pages 1-12, April.
  67. Zhou, Rui & Ji, Min, 2021. "Modelling mortality dependence: An application of dynamic vine copula," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 241-255.
  68. Jose M. Pavía & Josep Lledó, 2022. "Estimation of the combined effects of ageing and seasonality on mortality risk: An application to Spain," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(2), pages 471-497, April.
  69. 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.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.