Identifiability, cointegration and the gravity model
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Publication:1697266
DOI10.1016/j.insmatheco.2017.09.014zbMath1400.91248OpenAlexW2550528878MaRDI QIDQ1697266
Publication date: 15 February 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/18374/8/wp1505.pdf
gravity modelage/period/cohort modelsmortality modellingcoherent mortality projectionmulti-population modelling
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (8)
Forecasting mortality with international linkages: a global vector-autoregression approach ⋮ A combined analysis of hedge effectiveness and capital efficiency in longevity hedging ⋮ Recent declines in life expectancy: implication on longevity risk hedging ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Pitfalls and merits of cointegration-based mortality models ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model ⋮ THE SAINT MODEL: A DECADE LATER
Uses Software
Cites Work
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- Modelling longevity bonds: analysing the Swiss Re Kortis bond
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- Pricing and securitization of multi-country longevity risk with mortality dependence
- Modelling Adult Mortality in Small Populations: The Saint Model
- A Gravity Model of Mortality Rates for Two Related Populations
- Measuring Basis Risk in Longevity Hedges
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
- Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II
- On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England
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