Exploring the longevity risk using statistical tools derived from the Shiryaev-Roberts procedure

DOI10.1007/S13385-018-0168-4zbMath1416.91144OpenAlexW2795728527MaRDI QIDQ1616044

Marine Habart, Catherine Rainer, Dominique Abgrall, Aliou Sow

Publication date: 31 October 2018

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-018-0168-4

zbMATH Keywords

longevity riskchange-pointsequential estimationdiscrete Poisson modelmortality jumpsmortality trendShiryaev-Roberts process

Mathematics Subject Classification ID

Uses Software

• R
• snowfall

Cites Work

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• Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian se\-quences
• Asymptotic score-statistic processes and tests for constant hazard against a change-point alternative
• Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes
• Inference after truncated one-sided sequential test
• Early detection of a change in Poisson rate after accounting for population size effects
• On Optimum Methods in Quickest Detection Problems
• Multiscale Change Point Inference
• Hidden Markov Models for Time Series

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