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On the forecasting of mortality reduction factors

Citations

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Cited by:

  1. Koissi, Marie-Claire & Shapiro, Arnold F. & Hognas, Goran, 2006. "Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 1-20, February.
  2. Booth, Heather, 2006. "Demographic forecasting: 1980 to 2005 in review," International Journal of Forecasting, Elsevier, vol. 22(3), pages 547-581.
  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. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Estimating the term structure of mortality," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 492-504, April.
  5. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
  6. I. A. Lakman & R. A. Askarov & V. B. Prudnikov & Z. F. Askarova & V. M. Timiryanova, 2021. "Predicting Mortality by Causes in the Republic of Bashkortostan Using the Lee–Carter Model," Studies on Russian Economic Development, Springer, vol. 32(5), pages 536-548, September.
  7. Pitacco, Ermanno, 2004. "Survival models in a dynamic context: a survey," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 279-298, October.
  8. 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.
  9. 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.
  10. Marilena Sibillo & Emilia Di Lorenzo & Gerarda Tessitore, 2006. "A stochastic proportional hazard model for the force of mortality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(7), pages 529-536.
  11. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
  12. Stéphane Loisel, 2010. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00517902, HAL.
  13. 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.
  14. 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.
  15. Hatzopoulos, P. & Haberman, S., 2009. "A parameterized approach to modeling and forecasting mortality," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 103-123, February.
  16. 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.
  17. 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.
  18. 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.
  19. Levantesi, Susanna & Menzietti, Massimiliano, 2012. "Managing longevity and disability risks in life annuities with long term care," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 391-401.
  20. 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.
  21. Gao, Quansheng & Hu, Chengjun, 2009. "Dynamic mortality factor model with conditional heteroskedasticity," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 410-423, December.
  22. LUCIANO, Elisa & VIGNA, Elena, 2008. "Mortality risk via affine stochastic intensities: calibration and empirical relevance," MPRA Paper 59627, University Library of Munich, Germany.
  23. Wanying Fu & Barry R. Smith & Patrick Brewer & Sean Droms, 2022. "A New Mortality Framework to Identify Trends and Structural Changes in Mortality Improvement and Its Application in Forecasting," Risks, MDPI, vol. 10(8), pages 1-38, August.
  24. Jorge Miguel Ventura Bravo, 2011. "Pricing Longevity Bonds Using Affine-Jump Diffusion Models," CEFAGE-UE Working Papers 2011_29, University of Evora, CEFAGE-UE (Portugal).
  25. 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.
  26. 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.
  27. Montserrat Guillen & Antoni Vidiella‐i‐Anguera, 2005. "Forecasting Spanish Natural Life Expectancy," Risk Analysis, John Wiley & Sons, vol. 25(5), pages 1161-1170, October.
  28. 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).
  29. 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.
  30. Hua Chen & Samuel H. Cox, 2009. "Modeling Mortality With Jumps: Applications to Mortality Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 727-751, September.
  31. 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.
  32. 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.
  33. Annamaria Olivieri & Ermanno Pitacco, 2022. "Time Restrictions on Life Annuity Benefits: Portfolio Risk Profiles," Risks, MDPI, vol. 10(8), pages 1-18, August.
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