Socioeconomic differentials in mortality: implications on index-based longevity hedges

DOI10.1080/03461238.2022.2104131zbMath1520.91342OpenAlexW4289173509MaRDI QIDQ6156008

Pintao Lyu, Kenneth Q. Zhou, Johnny Siu-Hang Li

Publication date: 9 June 2023

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2022.2104131

zbMATH Keywords

Li-Lee modeldelta hedgingS-forwardsocioeconomic differentials in mortality improvementthree-way Lee-Carter model

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

Related Items (1)

Modelling socio-economic mortality at neighbourhood level

Cites Work

• Modeling and Forecasting U.S. Mortality
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Extending the Lee–Carter model: a three-way decomposition
• Measuring Basis Risk in Longevity Hedges
• MODELLING MORTALITY FOR PENSION SCHEMES
• A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
• Multi-population mortality models: fitting, forecasting and comparisons
• MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX
• On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England

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