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A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing
11 references·1 citing·35 second hop
A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing (2015)A State-Space Estimation of the Lee-Carte…Fundamental Aspects of Operational Risk and Insurance Analytics (2015)Fundamental Aspects of Operat…Actuarial mathematics for life contingent risks (2010)Actuarial mathematics for lif…Modelling Longevity Dynamics for Pensions and Annuity Business (2009)Modelling Longevity Dynamics …Actuarial Mathematics for Life Contingent Risks (2009)Actuarial Mathematics for Lif…A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions (2009)A Bayesian approach to pricin…Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection (2006)Comonotonic bounds on the sur…A Bayesian forecasting model: predicting U.S. male mortality (2006)A Bayesian forecasting model:…Bayesian Poisson log-bilinear mortality projections (2005)Bayesian Poisson log-bilinear…Affine processes for dynamic mortality and actuarial valuations (2005)Affine processes for dynamic …A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A Poisson log-bilinear regres…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…Forecasting mortality rates with a coherent ensemble averaging approach (2022)Forecasting mortality rates w…Option pricing: A simplified approach (1979)Monte Carlo Methods in Financial Engineering (2003)Statistical concepts of a priori and a posteriori risk classification in insurance (2011)A Semi-Markov Multiple State Model for Reverse Mortgage Terminations (2012)Bringing cost transparency to the life annuity market (2014)“Options, Futures, and Other Derivatives” (2016)A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)The New Life Market (2013)Multi-Population Mortality Models: A Factor Copula Approach (2014)Advances in mortality forecasting: introduction (2018)The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications (2000)Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting (2007)Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach (2009)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Applying Lee-Carter under conditions of variable mortality decline (2002)Longevity hedge effectiveness: a decomposition (2013)Bayesian Population Projections for the United Nations (2014)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non Mean Reverting Affine Processes for Stochastic Mortality (2005)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Brownian Motion and Stochastic Calculus (2007)On the pricing of longevity-linked securities (2009)Broken Limits to Life Expectancy (2002)Projections of Global Mortality and Burden of Disease from 2002 to 2030 (2006)Forecasting life expectancy, years of life lost, and all-cause and cause-specific mortality for 250 causes of death: reference and alternative scenarios for 2016–40 for 195 countries and territories (2018)A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)Mortality Modelling and Forecasting: a Review of Methods (2008)A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)Rogue Trading at Lloyds Bank International, 1974: Operational Risk in Volatile Markets (2017)Violations of uncovered interest rate parity and international exchange rate dependences (2017)Recent Challenges in Actuarial Science (2021)A comparative study of parametric mortality projection models (2010)Bayesian Stochastic Mortality Modelling for Two Populations (2011)Variable annuities: A unifying valuation approach (2011)
this work references cited by second hop

References

  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 2002A Poisson log-bilinear regression approach to the construction of projected lifetables727 cited
  • 2005Affine processes for dynamic mortality and actuarial valuations354 cited
  • 2009Modelling Longevity Dynamics for Pensions and Annuity Business285 cited
  • 2005Bayesian Poisson log-bilinear mortality projections162 cited
  • 2009Actuarial Mathematics for Life Contingent Risks161 cited
  • 2006A Bayesian forecasting model: predicting U.S. male mortality141 cited
  • 2010Actuarial mathematics for life contingent risks103 cited
  • 2009A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions72 cited
  • 2015Fundamental Aspects of Operational Risk and Insurance Analytics64 cited
  • 2006Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection36 cited

Cited by

  • 2022Forecasting mortality rates with a coherent ensemble averaging approach10 cited

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