Modelling and forecasting mortality improvement rates with random effects

DOI10.1007/s13385-021-00274-1zbMath1482.91186OpenAlexW3158842335MaRDI QIDQ2066777

Steven Haberman, Arthur E. Renshaw

Publication date: 14 January 2022

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

Full work available at URL: https://doi.org/10.1007/s13385-021-00274-1

zbMATH Keywords

mortality forecastingage heteroscedasticityhierarchical generalised linear modellingmortality improvementsrandom effects modelling

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

Related Items (3)

The slowdown in mortality improvement rates 2011--2017: a multi-country analysis ⋮ Smooth projection of mortality improvement rates: a Bayesian two-dimensional spline approach ⋮ Mortality modeling and regression with matrix distributions

Uses Software

• R
• iMoMo

Cites Work

• A multivariate evolutionary credibility model for mortality improvement rates
• Parametric mortality improvement rate modelling and projecting
• From regulatory life tables to stochastic mortality projections: the exponential decline model
• Modeling and forecasting mortality rates
• Modelling and projecting mortality improvement rates using a cohort perspective
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
• Generalized Linear Models with Random Effects
• iMoMo

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