Incorporating the Bühlmann credibility into mortality models to improve forecasting performances

DOI10.1080/03461238.2016.1167115zbMath1401.91198OpenAlexW2481372441MaRDI QIDQ4575474

Cary Chi-Liang Tsai, Tzuling Lin

Publication date: 13 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2016.1167115

zbMATH Keywords

Lee-Carter modelCBD modelBühlmann credibilitylinear relational model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to social sciences (62P25) Mathematical geography and demography (91D20)

Related Items

Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach ⋮ Hedging Mortality/Longevity Risks for Multiple Years ⋮ A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates ⋮ Bühlmann Credibility-Based Approaches to Modeling Mortality Rates for Multiple Populations ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Incorporating hierarchical credibility theory into modelling of multi-country mortality rates ⋮ Correlated age-specific mortality model: an application to annuity portfolio management ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ A Synthesis Mortality Model for the Elderly ⋮ Incorporating crossed classification credibility into the Lee-Carter model for multi-population mortality data ⋮ Hierarchical Bayesian modeling of multi-country mortality rates

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