A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE

DOI10.1017/asb.2020.44zbMath1471.91471OpenAlexW3108241698MaRDI QIDQ5152542

Jackie Li, Simon Guthrie, Maggie Lee

Publication date: 24 September 2021

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2020.44

zbMATH Keywords

common factor modelcoherent mortality projectionbest-performance/best-practice life expectancygeneralised extreme value distribution for minima

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

Uses Software

• StMoMo

Cites Work

• Modeling and Forecasting U.S. Mortality
• A step-by-step guide to building two-population stochastic mortality models
• Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Lee-Carter mortality forecasting with age-specific enhancement.
• Sex-specific mortality forecasting for UK countries: a coherent approach
• On the effectiveness of natural hedging for insurance companies and pension plans
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Key Q-Duration: A Framework for Hedging Longevity Risk
• Measuring Basis Risk in Longevity Hedges
• SMOOTHING POISSON COMMON FACTOR MODEL FOR PROJECTING MORTALITY JOINTLY FOR BOTH SEXES
• A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
• Multi-population mortality models: fitting, forecasting and comparisons
• Cohort extensions of the Poisson common factor model for modelling both genders jointly
• Using the Lee-Carter Method to Forecast Mortality for Populations with Limited Data*
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Minimum Death Rates and Maximum Life Expectancy: The Role of Concordant Ages
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications

This page was built for publication: A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE