The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty

DOI10.1016/j.insmatheco.2020.04.001zbMath1446.91066OpenAlexW3016268838MaRDI QIDQ784407

Johnny Siu-Hang Li, Yanxin Liu

Publication date: 3 August 2020

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.04.001

zbMATH Keywords

longevity riskcohort effectsmortality heat mapsmortality improvement ratesstochastic mortality modeling

Mathematics Subject Classification ID

PDEs in connection with biology, chemistry and other natural sciences (35Q92) Heat equation (35K05) Actuarial mathematics (91G05)

Related Items (5)

Modelling mortality: A bayesian factor-augmented var (favar) approach ⋮ Mortality Improvement Rates: Modeling, Parameter Uncertainty, and Robustness ⋮ Rotation in age patterns of mortality decline: statistical evidence and modeling ⋮ Smooth projection of mortality improvement rates: a Bayesian two-dimensional spline approach ⋮ Recent declines in life expectancy: implication on longevity risk hedging

Cites Work

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• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States

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