Pooling mortality risk in eurozone state pension liabilities: an application of a Bayesian coherent multi-population cohort-based mortality model

DOI10.1016/j.insmatheco.2021.04.008zbMath1464.62421OpenAlexW3159764267MaRDI QIDQ2038272

David G. McCarthy, Po-Lin Wang

Publication date: 6 July 2021

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.04.008

zbMATH Keywords

Bayesian statisticslongevityrisk poolingpublic pensionscohort mortalitymortality modeling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Cites Work

• Modeling and Forecasting U.S. Mortality
• A step-by-step guide to building two-population stochastic mortality models
• A common age effect model for the mortality of multiple populations
• Longevity hedge effectiveness: a decomposition
• Rare Disasters and Asset Markets in the Twentieth Century*
• Multi-population mortality models: fitting, forecasting and comparisons
• An Analysis of Period and Cohort Mortality Shocks in International Data
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Cohort and value-based multi-country longevity risk management

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