Mortality modeling and regression with matrix distributions

DOI10.1016/J.INSMATHECO.2022.08.001OpenAlexW3211629532WikidataQ114167204 ScholiaQ114167204MaRDI QIDQ59392

Jorge Yslas, Mogens Bladt, Martin Bladt, Hansjörg Albrecher, Martin Bladt, Mogens Bladt, Jorge Yslas, Hansjoerg Albrecher

Publication date: November 2022

Published in: Insurance: Mathematics and Economics, Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.03219

zbMATH Keywords

mortalityLee-Carter modelMarkov jump processexpectation maximizationinhomogeneous phase-type distribution

Mathematics Subject Classification ID

Estimation in survival analysis and censored data (62N02) Applications of continuous-time Markov processes on discrete state spaces (60J28) Actuarial mathematics (91G05)

Related Items (5)

Estimating absorption time distributions of general Markov jump processes ⋮ Phase-type mixture-of-experts regression for loss severities ⋮ Joint lifetime modeling with matrix distributions ⋮ matrixdist ⋮ Penalised likelihood methods for phase-type dimension selection

Uses Software

• EMpht
• matrixdist

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Modeling and Forecasting U.S. Mortality
• Introduction to insurance mathematics. Technical and financial features of risk transfers
• Survival models in a dynamic context: a survey
• Exchangeable mortality projection
• A fully Bayesian approach to inference for Coxian phase-type distributions with covariate dependent mean
• Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard
• Modelling and forecasting mortality improvement rates with random effects
• Correlated age-specific mortality model: an application to annuity portfolio management
• Penalised likelihood methods for phase-type dimension selection
• Mean reversion in stochastic mortality: why and how?
• Heterogeneity in mortality: a survey with an actuarial focus
• Old-age provision: past, present, future
• From regulatory life tables to stochastic mortality projections: the exponential decline model
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Matrix-Exponential Distributions in Applied Probability
• Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
• A Markov Model for Analysing Cancer Markers and Disease States in Survival Studies
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• A nine‐parameter version of the Heligman‐Pollard formula
• The use of phase-type models for disability insurance calculations
• Modelling Mortality with Actuarial Applications
• Modeling Markers of Disease Progression by a Hidden Markov Process: Application to Characterizing CD4 Cell Decline
• The Mathematical Mechanism of Biological Aging
• Markov Aging Process and Phase-Type Law of Mortality
• Inhomogeneous phase-type distributions and heavy tails
• Matching More Than Three Moments with Acyclic Phase Type Distributions
• Matching Three Moments with Minimal Acyclic Phase Type Distributions
• The estimation of phase-type related functionals using Markov chain Monte Carlo methods
• Forecasting Changes in Mortality
• Fitting inhomogeneous phase‐type distributions to data: the univariate and the multivariate case

This page was built for publication: Mortality modeling and regression with matrix distributions