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Stochastic mortality model in a state-space framework
2019Summary: The incorporation of the time-varying parameter in the mortality model has become one the main contributions in the actuarial eld since it allows for the stochastic nature of the mortality rates. However, it has also become a growing concern among the researchers since the residuals of the proposed model are evaluated independently.
Mohd. Nor, S. R., Yusof, F., Bahar, A.
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Backtesting stochastic mortality models by prediction interval-based metrics
Quality and Quantity, 2022Salvatore Scognamiglio +2 more
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A proposition of generalized stochastic Milevsky–Promislov mortality models
Scandinavian Actuarial Journal, 2018Piotr Śliwka, L Socha
exaly
A step-by-step guide to building two-population stochastic mortality models
Insurance: Mathematics and Economics, 2015Rui Zhou, Mary R Hardy
exaly
Evaluating the goodness of fit of stochastic mortality models
Insurance: Mathematics and Economics, 2010Kevin Dowd +2 more
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Stochastic mortality under measure changes
Scandinavian Actuarial Journal, 2010Enrico Biffis +2 more
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Stochastic population forecasts using functional data models for mortality, fertility and migration
International Journal of Forecasting, 2008Rob J Hyndman, Heather Booth
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Lee-Carter family of stochastic mortality models
2014Insurance companies are affected by many different kinds of risks. In the case of life insurance there are two main risks: the investment risk and the demographic risk. The latter can be split into insurance risk due to the random deviation of the number of deaths from its expected value, and longevity risk deriving from the improvement in mortality ...
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Deterministic and stochastic trends in the Lee–Carter mortality model
Applied Economics Letters, 2016Niels Haldrup, Malene Kallestrup-Lamb
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