Forecasting age distribution of death counts: An application to annuity pricing [PDF]
, 2019 We consider a compositional data analysis approach to forecasting the age distribution of death counts. Using the age-specific period life-table death counts in Australia obtained from the Human Mortality Database, the compositional data analysis ...
Haberman, S., Shang, H.L.
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Investigating Mortality Uncertainty Using the Block Bootstrap
Journal of Probability and Statistics, 2010 This paper proposes a block bootstrap method for measuring mortality risk under the Lee-Carter model framework. In order to take account of all sources of risk (the process risk, the parameter risk, and the model risk) properly, a block bootstrap is ...
Xiaoming Liu, W. John Braun
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On the effectiveness of natural hedging for insurance companies and pension plans [PDF]
, 2015 Natural hedging is one possible method to reduce longevity risk exposure for an annuity provider or a pension plan. In this paper, we provide an assessment of the effectiveness of natural hedging between annuity and life products, using the correlated ...
Barbarin +49 more
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A tool for projecting age patterns based on a standard age schedule and assumptions on relative risks using linear splines: topals [PDF]
, 2007 The predominant way of modelling mortality rates is the Lee-Carter model and its many extensions. The Lee-Carter model and its many extensions use a latent process to forecast.
Beer, J. de +2 more
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Mortality and life expectancy forecast for (comparatively) high mortality countries
Genus, 2018 Background The Lee–Carter method and its later variants are widely accepted extrapolative methods for forecasting mortality and life expectancy in industrial countries due to their simplicity and availability of high quality long time series data ...
Ahbab Mohammad Fazle Rabbi +1 more
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A parameterized approach to modeling and forecasting mortality [PDF]
, 2009 A new method is proposed of constructing mortality forecasts. This parameterized approach utilizes Generalized Linear Models (GLMs), based on heteroscedastic Poisson (non-additive) error structures, and using an orthonormal polynomial design matrix ...
Bell +42 more
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Mortality forecasting in Colombia from abridged life tables by sex
Genus, 2018 Background An adequate forecasting model of mortality that allows an analysis of different population changes is a topic of interest for countries in demographic transition.
Gisou Diaz +2 more
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Forecasting multiple functional time series in a group structure: an application to mortality’ [PDF]
, 2020 When modeling sub-national mortality rates, we should consider three features: (1) how to incorporate any possible correlation among sub-populations to potentially improve forecast accuracy through multi-population joint modeling; (2) how to reconcile ...
Haberman, S., Shang, H.L.
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A Fuzzy-Random Extension of the Lee–Carter Mortality Prediction Model
International Journal of Computational Intelligence SystemsThe Lee–Carter model is a useful dynamic stochastic model to represent the evolution of central mortality rates throughout time. This model only considers the uncertainty about the coefficient related to the mortality trend over time but not to the age ...
Jorge de Andrés-Sánchez +1 more
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