Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach

DOI10.1016/j.insmatheco.2015.03.025zbMath1348.62248OpenAlexW2049663363MaRDI QIDQ492652

Cheng Wan, Ljudmila Bertschi

Publication date: 20 August 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.025

zbMATH Keywords

forecastrobustnessrisk managementlongevity riskstochastic mortality modelLi-Lee modelPlat model

Mathematics Subject Classification ID

Related Items (9)

Coherent mortality forecasting by the weighted multilevel functional principal component approach ⋮ A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES ⋮ Multipopulation mortality modelling and forecasting: the weighted multivariate functional principal component approaches ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Do actuaries believe in longevity deceleration? ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Incorporating crossed classification credibility into the Lee-Carter model for multi-population mortality data ⋮ THE SAINT MODEL: A DECADE LATER

Uses Software

• forecast
• Forecast
• Human Mortality

Cites Work

• Modeling and Forecasting U.S. Mortality
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Forecasting mortality: when academia meets practice
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Modelling Adult Mortality in Small Populations: The Saint Model
• A Gravity Model of Mortality Rates for Two Related Populations
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Bootstrapping the Poisson log-bilinear model for mortality forecasting
• Unnamed Item

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