Smoothing and forecasting mortality rates

From MaRDI portal
Publication:4675955

DOI10.1191/1471082X04st080oazbMath1061.62171OpenAlexW2042636783MaRDI QIDQ4675955

Iain D. Currie, María Durbán, Paul H. C. Eilers

Publication date: 6 May 2005

Published in: Statistical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1191/1471082x04st080oa



Related Items

Grouped multivariate and functional time series forecasting: an application to annuity pricing, Modeling body height in prehistory using a spatio-temporal Bayesian errors-in-variables model, Bayesian nonparametric dynamic hazard rates in evolutionary life tables, A comparison of models for dynamic life tables. Application to mortality data from the Valencia region (Spain), A random forest algorithm to improve the Lee-Carter mortality forecasting: impact on q-forward, Efficient two-dimensional smoothing with \(P\)-spline ANOVA mixed models and nested bases, A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS, A quantitative comparison of stochastic mortality models on Italian population data, SMOOTHING POISSON COMMON FACTOR MODEL FOR PROJECTING MORTALITY JOINTLY FOR BOTH SEXES, MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE, A CREDIBILITY APPROACH FOR COMBINING LIKELIHOODS OF GENERALIZED LINEAR MODELS, A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES, TESTING FOR A UNIT ROOT IN LEE–CARTER MORTALITY MODEL, Coherent Modeling and Forecasting of Mortality Patterns for Subpopulations Using Multiway Analysis of Compositions: An Application to Canadian Provinces and Territories, A partial internal model for longevity risk, On fitting generalized linear and non-linear models of mortality, Semi-parametric extensions of the Cairns-Blake-Dowd model: a one-dimensional kernel smoothing approach, A Penalized Framework for Distributed Lag Non-Linear Models, The slowdown in mortality improvement rates 2011--2017: a multi-country analysis, The modified fuzzy mortality model based on the algebra of ordered fuzzy numbers, Modeling the Risk in Mortality Projections, Forecasting short-term mortality trends using Bernstein polynomials, A Neural Approach to Improve the Lee-Carter Mortality Density Forecasts, Multivariate time series modeling, estimation and prediction of mortalities, Managing longevity and disability risks in life annuities with long term care, Explaining Young mortality, Longevity risk and capital markets: the 2015--16 update, Cause-of-death mortality forecasting using adaptive penalized tensor decompositions, Smooth projection of mortality improvement rates: a Bayesian two-dimensional spline approach, Estimation and extrapolation of time trends in registry data -- borrowing strength from related populations, A dynamic parameterization modeling for the age-period-cohort mortality, Dynamic principal component regression for forecasting functional time series in a group structure, Semiparametric regression during 2003--2007, The mortality of the Italian population: smoothing techniques on the Lee-Carter model, The Lee-Carter quantile mortality model, Pricing European options on deferred annuities, Multidimensional smoothing by adaptive local kernel-weighted log-likelihood: application to long-term care insurance, A Three-Factor Model for Mortality Modeling, Logistic Regression for Insured Mortality Experience Studies, Penalized least squares smoothing of two-dimensional mortality tables with imposed smoothness, Stochastic portfolio specific mortality and the quantification of mortality basis risk, On stochastic mortality modeling, Drivers of Mortality Dynamics: Identifying Age/Period/Cohort Components of Historical U.S. Mortality Improvements, Separable factor analysis with applications to mortality data, Evaluating the goodness of fit of stochastic mortality models, Sums of smooth exponentials to decompose complex series of counts, Segmentation of mortality surfaces by hidden Markov models, Editorial: Longevity risk and capital markets: the 2013--14 update, Modeling mortality and pricing life annuities with Lévy processes, Mortality modeling under stochastic frailty, Pricing of Ratchet equity-indexed annuities under stochastic interest rates, Modeling Repeated Functional Observations, Smooth-CAR mixed models for spatial count data, Spline smoothing in small area trend estimation and forecasting, RISK ANALYSIS OF ANNUITY CONVERSION OPTIONS IN A STOCHASTIC MORTALITY ENVIRONMENT, Evaluating space‐time models for short‐term cancer mortality risk predictions in small areas, Longevity Risk and Capital Markets: The 2012–2013 Update, A General Procedure for Constructing Mortality Models, A COMPARISON OF MIXED MODEL SPLINES FOR CURVE FITTING, Forecasting mortality rate improvements with a high-dimensional VAR, Calibrating affine stochastic mortality models using term assurance premiums, Constructing dynamic life tables with a single-factor model, GAUSSIAN PROCESS MODELS FOR MORTALITY RATES AND IMPROVEMENT FACTORS, Mortality forecasting using factor models: time-varying or time-invariant factor loadings?, Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach, Valuation of contingent claims with mortality and interest rate risks, Addressing the life expectancy gap in pension policy, Recent declines in life expectancy: implication on longevity risk hedging, Longevity risk and capital markets: the 2019--20 update, A parameterized approach to modeling and forecasting mortality, Non-parametric inference of transition probabilities based on Aalen-Johansen integral estimators for acyclic multi-state models: application to LTC insurance, Modelling and management of mortality risk: a review, The evolution of death rates and life expectancy in Denmark, Bivariate discrete beta kernel graduation of mortality data, Smooth models of mortality with period shocks, P-spline ANOVA-type interaction models for spatio-temporal smoothing, Smoothing constrained generalized linear models with an application to the Lee-Carter model, Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting, A DSA Algorithm for Mortality Forecasting, Smoothing fertility trends in agricultural field experiments, Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk, An age-at-death distribution approach to forecast cohort mortality, Robust forecasting of mortality and fertility rates: a functional data approach, Longevity Risk and Capital Markets: The 2017–2018 Update, On the Structure and Classification of Mortality Models, Life expectancy and lifespan disparity forecasting: a long short-term memory approach, Stochastic modelling and projection of mortality improvements using a hybrid parametric/semi-parametric age–period–cohort model, Clustering and forecasting multiple functional time series, The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty, Modelling life tables with advanced ages: an extreme value theory approach, A general framework for prediction in penalized regression, Mortality modeling using probability distributions. APPLICATION in greek mortality data, Age-coherent extensions of the Lee–Carter model, On constrained smoothing and out-of-range prediction using \(P\)-splines: a conic optimization approach, Understanding, modelling and managing longevity risk: key issues and main challenges, Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk, A cautionary note on pricing longevity index swaps, A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States


Uses Software


Cites Work