A Bühlmann Credibility Approach to Modeling Mortality Rates

DOI10.1080/10920277.2016.1246253zbMath1414.91237OpenAlexW2588584128MaRDI QIDQ5379217

Tzuling Lin, Cary Chi-Liang Tsai

Publication date: 28 May 2019

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

Full work available at URL: https://doi.org/10.1080/10920277.2016.1246253

zbMATH Keywords

Lee-Carter modelCairns-Blake-Dowd modelBühlmann nonparametric credibilitymortality rate forecasting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach, Model mortality rates using property and casualty insurance reserving methods, 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, Multi-population mortality forecasting using tensor decomposition, 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, Incorporating crossed classification credibility into the Lee-Carter model for multi-population mortality data

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Modeling and Forecasting U.S. Mortality
• On stochastic mortality modeling
• A new approach to the credibility formula
• Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
• Estimating the term structure of mortality
• Credibility evaluation for the exponential dispersion family
• On the mortality/longevity risk hedging with mortality immunization
• Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective
• Age-specific copula-AR-GARCH mortality models
• Modeling and forecasting mortality rates
• Quantile credibility models
• A maximum-entropy approach to the linear credibility formula
• Credibility theory based on trimming
• Modelling dependent data for longevity projections
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• A course in credibility theory and its applications
• Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
• The credibility approach to experience rating
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Applications of Mortality Durations and Convexities in Natural Hedges
• Multivariate Credibility for Aggregate Loss Models
• Credibility Using Copulas