Results 1 to 10 of about 369,180 (307)

Modelling stochastic bivariate mortality [PDF]

SSRN Electronic Journal, 2006
Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk.
A J G Cairns, A K Manatunga, A Shemyakin, C Genest, C Genest, C Genest, D Duue, D Duue, D Duue, D F Schrager, D G Clayton, D Lando, D Lando, D M Dabrowska, D Oakes, D Oakes, E Biis, E Luciano, E W Frees, Elena Vigna, Elisa Luciano, H Youn, H Youn, J E Anderson, J F Carriere, J Spreeuw, Jaap Spreeuw, M A Milevsky, M Dahl, M Denuit, M Denuit, P Artzner, P Br Emaud, P Hougaard, R B Nelsen, U Cherubini, W Wang   +36 more
core   +4 more sources

An interpretable piecewise model for human mortality: the Christopher–Samba model [PDF]

Scientific Reports
Modelling mortality schedules has a long history in demographic research, with many models developed over time. This study proposes a new mortality model—the Christopher–Samba (C–S) model—that captures mortality patterns across the entire age spectrum ...
Christopher Lalromawia, Samba Siva Rao Pasupuleti   +1 more
doaj   +2 more sources

Extensions on the Hatzopoulos–Sagianou Multiple-Components Stochastic Mortality Model

Risks, 2022
In this paper, we present extensions of the Hatzopoulos–Sagianou (2020) (HS) multiple-component stochastic mortality model. Our aim is to thoroughly evaluate and stress test the HS model by deploying various link functions, using generalised linear ...
Aliki Sagianou, Peter Hatzopoulos
doaj   +1 more source

Nonlinear Modeling of Mortality Data and Its Implications for Longevity Bond Pricing

Risks, 2023
Human mortality has been improving faster than expected over the past few decades. This unprecedented improvement has caused significant financial stress to pension plan sponsors and annuity providers. The widely recognized Lee–Carter model often assumes
Huijing Li, Rui Zhou, Min Ji
doaj   +1 more source

Subnational Mortality Modelling: A Bayesian Hierarchical Model with Common Factors

Risks, 2021
We propose a new model in a Bayesian hierarchical framework to project mortality at both national and subnational levels based on sparse or missing data.
Qian Lu, Katja Hanewald, Xiaojun Wang
doaj   +1 more source

Hotelling T² Control Chart for Detecting Changes in Mortality Models Based on Machine-Learning Decision Tree

Mathematics, 2023
Mortality modelling is a practical method for the government and various fields to obtain a picture of mortality up to a specific age for a particular year.
Suryo Adi Rakhmawan, M. Hafidz Omar, Muhammad Riaz, Nasir Abbas   +3 more
doaj   +1 more source

A Bibliometric Analysis of Research on Stochastic Mortality Modelling and Forecasting

Risks, 2022
Mortality improvements and life expectancies have been increasing in recent decades, leading to growing interest in understanding mortality risk and longevity risk. Studies of mortality forecasting are of interest among actuaries and demographers because
Norkhairunnisa Redzwan, Rozita Ramli
doaj   +1 more source

Bayesian Mixture Modelling for Mortality Projection

Risks, 2021
Although a large number of mortality projection models have been proposed in the literature, relatively little attention has been paid to a formal assessment of the effect of model uncertainty.
Jackie Li, Atsuyuki Kogure
doaj   +1 more source

Robust Non-Parametric Mortality and Fertility Modelling and Forecasting: Gaussian Process Regression Approaches

Forecasting, 2021
A rapid decline in mortality and fertility has become major issues in many developed countries over the past few decades. An accurate model for forecasting demographic movements is important for decision making in social welfare policies and resource ...
Ka Kin Lam, Bo Wang
doaj   +1 more source

Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models

Risks, 2022
Affine mortality models are well suited for theoretical and practical application in pricing and risk management of mortality risk. They produce consistent, closed-form stochastic survival curves allowing for the efficient valuation of mortality-linked ...
Zhiping Huang, Michael Sherris, Andrés M. Villegas, Jonathan Ziveyi   +3 more
doaj   +1 more source