A Gravity Model of Mortality Rates for Two Related Populations

DOI10.1080/10920277.2011.10597624zbMath1228.91032OpenAlexW2072258082MaRDI QIDQ3107265

Guy D. Coughlan, Marwa Khalaf-Allah, David Blake, Kevin Dowd, Andrew J. G. Cairns

Publication date: 21 December 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/35738/1/MPRA_paper_35738.pdf

Mathematics Subject Classification ID

Related Items (73)

Basis risk modelling: a cointegration-based approach ⋮ Sex-specific mortality forecasting for UK countries: a coherent approach ⋮ Exchangeable mortality projection ⋮ Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach ⋮ Semiparametric Regression for Dual Population Mortality ⋮ EXTENDING THE LEE–CARTER MODEL WITH VARIATIONAL AUTOENCODER: A FUSION OF NEURAL NETWORK AND BAYESIAN APPROACH ⋮ Coherent modeling of male and female mortality using Lee-Carter in a complex number framework ⋮ Shortcuts for the construction of sub-annual life tables ⋮ Semi-parametric accelerated hazard relational models with applications to mortality projections ⋮ THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK ⋮ COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH ⋮ MODELLING MORTALITY FOR PENSION SCHEMES ⋮ A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES ⋮ A BAYESIAN JOINT MODEL FOR POPULATION AND PORTFOLIO-SPECIFIC MORTALITY ⋮ Tail index-linked annuity: A longevity risk sharing retirement plan ⋮ Multi-population modelling and forecasting life-table death counts ⋮ Multi-population mortality models: fitting, forecasting and comparisons ⋮ A partial internal model for longevity risk ⋮ Cohort extensions of the Poisson common factor model for modelling both genders jointly ⋮ A Bayesian non-parametric model for small population mortality ⋮ Mortality projections for higher educational attainment with semi-parametric accelerated hazard relational models ⋮ Multi-population mortality modeling with Lévy processes ⋮ Multipopulation mortality modelling and forecasting: the weighted multivariate functional principal component approaches ⋮ Modelling mortality: A bayesian factor-augmented var (favar) approach ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Mortality models and longevity risk for small populations ⋮ Identifiability, cointegration and the gravity model ⋮ Bayesian Poisson log-bilinear models for mortality projections with multiple populations ⋮ Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble ⋮ Identification and forecasting in mortality models ⋮ Small population bias and sampling effects in stochastic mortality modelling ⋮ A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates ⋮ Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans ⋮ MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS ⋮ Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Modelling longevity bonds: analysing the Swiss Re Kortis bond ⋮ A step-by-step guide to building two-population stochastic mortality models ⋮ Multi-population mortality models: a factor copula approach ⋮ Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach ⋮ Forecasting mortality with international linkages: a global vector-autoregression approach ⋮ MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II ⋮ Gender Convergence in Human Survival and the Postponement of Death ⋮ A General Semi-Markov Model for Coupled Lifetimes ⋮ Forecasting mortality rate improvements with a high-dimensional VAR ⋮ Time-consistent mean-variance hedging of longevity risk: effect of cointegration ⋮ Addressing the life expectancy gap in pension policy ⋮ Modelling mortality dependence: an application of dynamic vine copula ⋮ Gompertz law revisited: forecasting mortality with a multi-factor exponential model ⋮ Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Coherent mortality forecasting with generalized linear models: a modified time-transformation approach ⋮ Parametric mortality indexes: from index construction to hedging strategies ⋮ Pitfalls and merits of cointegration-based mortality models ⋮ It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk ⋮ A DSA Algorithm for Mortality Forecasting ⋮ MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX ⋮ Mortality projections for non-converging groups of populations ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model ⋮ A Bayesian Approach to Modeling and Projecting Cohort Effects ⋮ An Analysis of Period and Cohort Mortality Shocks in International Data ⋮ The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty ⋮ The dependency premium based on a multifactor model for dependent mortality data ⋮ Age-coherent extensions of the Lee–Carter model ⋮ NEIGHBOURING PREDICTION FOR MORTALITY ⋮ Forecasting mortality in subpopulations using Lee-Carter type models: a comparison ⋮ On the effectiveness of natural hedging for insurance companies and pension plans ⋮ THE SAINT MODEL: A DECADE LATER ⋮ Risk-minimization for life insurance liabilities with basis risk ⋮ Longevity hedge effectiveness: a decomposition

This page was built for publication: A Gravity Model of Mortality Rates for Two Related Populations