SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates · Study

ArticleShelves

ArticleA comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates

Rosella Giacometti2011

Article2011

A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates

Rosella Giacometti · Marida Bertocchi · Svetlozar T. Rachev · Frank J. Fabozzi

53 citations·0/0 files stored·Insurance Mathematics and Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Insurance, Mortality, Demography, Risk Management Forecasting Techniques and Applications Statistical Distribution Estimation and Applications

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 53 citations exist upstream.

References

1992Modeling and Forecasting U. S. Mortality 2000A universal pattern of mortality decline in the G7 countries 2000The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications 2001Mortality derivatives and the option to annuitise 1989Revised Regional Model Life Tables at Very Low Levels of Mortality 1992Modeling and forecasting US sex differentials in mortality 1990Stochastic methods in population forecasting 2005The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case

Cited by

2017A Double-Layer Neural Network Framework for High-Frequency Forecasting 2017Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model With the GAS Structure 2014Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy 2021Mortality models incorporating long memory for life table estimation: a comprehensive analysis 2021Forecasting mortality with international linkages: A global vector-autoregression approach

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2006Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Riskreport · 5 shared references 2014An application of MCMC simulation in mortality projection for populations with limited dataarticle · 5 shared references 2008Mortality, longevity and experiments with the Lee–Carter modelarticle · 5 shared references 2004Projecting Mortality Trendsarticle · 4 shared references 2009Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality modelsarticle · 4 shared references 2004Outlier analysis and mortality forecasting: The United Kingdom and Scandinavian countriesarticle · 4 shared references

Details

Year2011

Typearticle

Published2011-10-17

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations53

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

Identifiers

doi10.1016/j.insmatheco.2011.10.002

openalex_workW2045593113

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2017A class of random field memory models for mortality forecasting

2019ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION

2021Forecasting mortality rates with the penalized exponential smoothing state space model