Statistical Inference for Lee-Carter Mortality Model and Corresponding Forecasts

DOI10.1080/10920277.2018.1556702zbMath1426.91227OpenAlexW2922268392MaRDI QIDQ5241932

Chen Ling, Qing Liu, Liang Peng

Publication date: 4 November 2019

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

Full work available at URL: https://doi.org/10.1080/10920277.2018.1556702

zbMATH Keywords

statistical inferenceLee-Carter mortality modelforecasting mortality risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items

Inference for the Lee-Carter model with an AR(2) process ⋮ Modelling mortality: A bayesian factor-augmented var (favar) approach ⋮ A more meaningful parameterization of the Lee-Carter model ⋮ BIAS-CORRECTED INFERENCE FOR A MODIFIED LEE–CARTER MORTALITY MODEL

Cites Work

• Modeling and Forecasting U.S. Mortality
• Longevity bond premiums: the extreme value approach and risk cubic pricing
• Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
• Evaluating the goodness of fit of stochastic mortality models
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• On the sample variance of linear statistics derived from mixing sequences
• A maximal inequality and dependent strong laws
• Resampling methods for dependent data
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration
• Inference pitfalls in Lee-Carter model for forecasting mortality
• Testing for a unit root in time series regression
• Towards a unified asymptotic theory for autoregression
• TESTING FOR A UNIT ROOT IN LEE–CARTER MORTALITY MODEL
• Multi-population mortality models: fitting, forecasting and comparisons
• Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk
• Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
• Detecting Common Longevity Trends by a Multiple Population Approach