Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II
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Publication:5742668
DOI10.1080/10920277.2013.872553zbMath1412.91060OpenAlexW2020419183MaRDI QIDQ5742668
Rui Zhou, Yujiao Wang, Ken Seng Tan, Johnny Siu-Hang Li, Kai Kaufhold
Publication date: 15 May 2019
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2013.872553
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites Work
- Modeling and Forecasting U.S. Mortality
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Estimating the dimension of a model
- Modelling Adult Mortality in Small Populations: The Saint Model
- Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
- A Gravity Model of Mortality Rates for Two Related Populations
- Measuring Basis Risk in Longevity Hedges
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
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