Forecasting Mortality Convergence Up to 2100 [PDF]
, 2012 This paper presents life expectancy forecasts for all countries in the world explicitly assuming mortality convergence. We develop a model that takes into account country-specific heterogeneity in life expectancy historical trajectories, between ...
Garbero, A., Sanderson, W.C.
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Etude du risque systématique de mortalité [PDF]
The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter.
Frédéric Planchet +2 more
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In the core of longevity risk: hidden dependence in stochastic mortality models and cut-offs in prices of longevity swaps [PDF]
In most stochastic mortality models, either one stochastic intensity process (for example a jump-diffusion process) or a collection of independent processes is used to model the stochastic evolution of survival probabilities.
Daniel Serant, Stéphane Loisel
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A comparison between general population mortality and life tables for insurance in Mexico under gender proportion inequality [PDF]
, 2013 We model the mortality behavior of the general population in Mexico using data from 1990 to 2009 and compare it to the mortality assumed in the tables used in Mexico for insured lives.
Guillén, Montserrat, Ornelas, Arelly
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How the co-integration analysis can help in mortality forecasting. [PDF]
series of age-specific log-mortality rates as a sum of an independent of time age-specific component and a bilinear term in which one of the component is a time-varying parameter reflecting general change in mortality and the second one is an age ...
Darkiewicz, Grzegorz, Hoedemakers, Tom
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Demographic Research, 2013 BACKGROUND With the rapid aging of the population, mortality forecasting becomes increasingly important, especially for the insurance and pension industries.
Lenny Stoeldraijer +3 more
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Mesure de l'incertitude tendancielle sur la mortalité – application à un régime de rentes [PDF]
The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter.
Frédéric Planchet, Marc Juillard
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GAMMA-NORMAL VERSION OF THE LEE-CARTER MODEL FOR FORECASTING MORTALITY [PDF]
, 2018 The Lee-Carter model was primarily designed for the mortality pattern of the United States and has been used by many developed Countries as a gold standard to model their mortality pattern. Despite its merits, it is observed from literature that the Lee
Eniola, Adegbilero-Iwari Oluwaseun +1 more
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Sztochasztikus modellek statisztikai vizsgálata = Statistical investigation of stochastic models [PDF]
, 2009 A regressziós modellek témakörében bevezettünk egy új becslést, igazoltuk annak konzisztenciáját és aszimptotikus normalitását. Különböző térbeli autoregresszív folyamatok és egy időbeli SAR folyamat esetén leírtuk a paraméterek legkisebb négyezetes ...
Baran, Sándor +2 more
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Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk [PDF]
Using the widely-cited Lee-Carter mortality model, we quantify aggregate mortality risk as the risk that the average annuitant lives longer than is predicted by the model, and we conclude that annuity business exposes insurance companies to substantial ...
Anthony Webb, Leora Friedberg
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