The dependency premium based on a multifactor model for dependent mortality data

DOI10.1080/03610926.2017.1366523OpenAlexW2748633907MaRDI QIDQ5860764

Gabriella Piscopo, Valeria D. Amato, Steven Haberman

Publication date: 22 November 2021

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/17954/3/PAPER%20Dependency%20Premium%20submitted-SH2.pdf

zbMATH Keywords

longevity riskdependencecoherent mortality forecasts

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

Cites Work

• Modeling and Forecasting U.S. Mortality
• A common age effect model for the mortality of multiple populations
• On stochastic mortality modeling
• Computational framework for longevity risk management
• A continuous-time stochastic model for the mortality surface of multiple populations
• Modelling dependent data for longevity projections
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• A Gravity Model of Mortality Rates for Two Related Populations
• A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
• Parameter risk in time-series mortality forecasts
• Detecting Common Longevity Trends by a Multiple Population Approach

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