Extending the Lee–Carter model: a three-way decomposition

DOI10.1080/03461231003611933zbMath1277.62260OpenAlexW2003605926MaRDI QIDQ2866280

Maria Russolillo, Steven Haberman, Giuseppe Giordano

Publication date: 13 December 2013

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

Full work available at URL: https://doi.org/10.1080/03461231003611933

zbMATH Keywords

singular value decompositionbiplotmortality forecastingTucker3 model

Mathematics Subject Classification ID

Related Items (31)

Sex-specific mortality forecasting for UK countries: a coherent approach ⋮ Exchangeable mortality projection ⋮ Characterization of between-group inequality of longevity in European union countries ⋮ Modeling and forecasting duration-dependent mortality rates ⋮ A multivariate evolutionary credibility model for mortality improvement rates ⋮ A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES ⋮ Coherent Modeling and Forecasting of Mortality Patterns for Subpopulations Using Multiway Analysis of Compositions: An Application to Canadian Provinces and Territories ⋮ Multi-population modelling and forecasting life-table death counts ⋮ Forecasting disability: application of a frailty model ⋮ Assessing implicit hypotheses in life table construction ⋮ Mortality forecasting using the four-way CANDECOMP/PARAFAC decomposition ⋮ A multi-way analysis of similarity patterns in longevity improvements ⋮ Socioeconomic differentials in mortality: implications on index-based longevity hedges ⋮ Locally-coherent multi-population mortality modelling via neural networks ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Mortality models and longevity risk for small populations ⋮ Cause-of-death mortality forecasting using adaptive penalized tensor decompositions ⋮ Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble ⋮ Rotation of the age pattern of mortality improvements in the European union ⋮ Multi-population mortality forecasting using tensor decomposition ⋮ Modeling trends in cohort survival probabilities ⋮ Detecting Common Longevity Trends by a Multiple Population Approach ⋮ On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Multiple mortality modeling in Poisson Lee–Carter framework ⋮ A DSA Algorithm for Mortality Forecasting ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Understanding Patterns of Mortality Homogeneity and Heterogeneity Across Countries and Their Role in Modeling Mortality Dynamics and Hedging Longevity Risk ⋮ Coherent modeling of mortality patterns for age-specific subgroups ⋮ Forecasting mortality in subpopulations using Lee-Carter type models: a comparison ⋮ On the effectiveness of natural hedging for insurance companies and pension plans

Uses Software

• Matlab

Cites Work

• Unnamed Item
• On age-period-cohort parametric mortality rate projections
• A parameterized approach to modeling and forecasting mortality
• Principal component analysis of three-mode data by means of alternating least squares algorithms
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• On the forecasting of mortality reduction factors
• Multiple factor analysis (AFMULT package)
• Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
• Annotated bibliography of three-mode factor analysis

This page was built for publication: Extending the Lee–Carter model: a three-way decomposition