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MODELING THE MORTALITY TREND UNDER MODERN SOLVENCY REGIMES
16 references·11 citing·34 second hop
MODELING THE MORTALITY TREND UNDER MODERN SOLVENCY REGIMES (2013)MODELING THE MORTALITY TREND UNDER MODERN…A General Procedure for Constructing Mortality Models (2014)A General Procedure for Const…Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models (2012)Coherent Mortality Forecastin…Modelling Adult Mortality in Small Populations: The Saint Model (2011)Modelling Adult Mortality in …Measuring Basis Risk in Longevity Hedges (2011)Measuring Basis Risk in Longe…Longevity Hedging 101 (2011)Longevity Hedging 101Bayesian Stochastic Mortality Modelling for Two Populations (2011)Bayesian Stochastic Mortality…A Gravity Model of Mortality Rates for Two Related Populations (2011)A Gravity Model of Mortality …On Stochastic Mortality Modeling (2009)On Stochastic Mortality Model…Modelling and management of mortality risk: a review (2008)Modelling and management of m…Longevity risk in portfolios of pension annuities (2007)Longevity risk in portfolios …Exponential smoothing: The state of the art—Part II (2006)Exponential smoothing: The st…A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)A Two‐Factor Model for Stocha…Coherent mortality forecasts for a group of populations: An extension of the lee-carter method (2005)Coherent mortality forecasts …Smoothing and forecasting mortality rates (2004)Smoothing and forecasting mor…Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality (2001)Evaluating the Performance of…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Assessing the Impact of the COVID-19 Shock on a Stochastic Multi-Population Mortality Model (2022)Assessing the Impact of the C…Estimation of the Combined Effects of Ageing and Seasonality on Mortality Risk: An Application to Spain (2021)Estimation of the Combined Ef…Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing (2020)Forward Mortality Rates in Di…Incorporating big microdata in life table construction: A hypothesis-free estimator (2019)Incorporating big microdata i…Forecasting mortality rate improvements with a high-dimensional VAR (2019)Forecasting mortality rate im…Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard (2017)Producing the Dutch and Belgi…Modeling trend processes in parametric mortality models (2017)Modeling trend processes in p…The choice of sample size for mortality forecasting: A Bayesian learning approach (2015)The choice of sample size for…Identifiability in Age/Period/Cohort Mortality Models (2015)Identifiability in Age/Period…Modeling and Management of Longevity Risk (2014)Modeling and Management of Lo…Longevity Basis Risk A methodology for assessing basis risk (2014)Longevity Basis Risk A method…Modeling and Forecasting U. S. Mortality (1992)A universal pattern of mortality decline in the G7 countries (2000)Applying Lee-Carter under conditions of variable mortality decline (2002)Demographic forecasting: 1980 to 2005 in review (2006)Mortality Modelling and Forecasting: a Review of Methods (2008)A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Mortality density forecasts: An analysis of six stochastic mortality models (2011)Broken Limits to Life Expectancy (2002)The Outlook for Population Growth (2011)A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)Forecasting Sales by Exponentially Weighted Moving Averages (1960)The M3-Competition: results, conclusions and implications (2000)Forecasting seasonals and trends by exponentially weighted moving averages (2004)A hybrid method of exponential smoothing and recurrent neural networks for time series forecasting (2019)Artificial intelligence applications in supply chain management (2021)Forecasting: theory and practice (2022)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control. (1978)Automatic Time Series Forecasting: The forecast Package for R (2008)Impact of different mortality forecasting methods and explicit assumptions on projected future life expectancy: The case of the Netherlands (2013)Grouped Functional Time Series Forecasting: An Application to Age-Specific Mortality Rates (2016)Time-Series Forecasting of Mortality Rates using Deep Learning (2020)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Understanding, modelling and managing longevity risk: key issues and main challenges (2010)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)A comparative study of parametric mortality projection models (2010)Modeling and forecasting mortality rates (2013)StMoMo : An R Package for Stochastic Mortality Modeling (2015)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 2006Exponential smoothing: The state of the art—Part II953 cited
  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
  • 2005Coherent mortality forecasts for a group of populations: An extension of the lee-carter method623 cited
  • 2001Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality523 cited
  • 2004Smoothing and forecasting mortality rates452 cited
  • 2012Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models278 cited
  • 2009On Stochastic Mortality Modeling271 cited
  • 2008Modelling and management of mortality risk: a review254 cited
  • 2011Bayesian Stochastic Mortality Modelling for Two Populations230 cited
  • 2011Measuring Basis Risk in Longevity Hedges222 cited
  • 2011A Gravity Model of Mortality Rates for Two Related Populations153 cited
  • 2011Longevity Hedging 101131 cited
  • 2011Modelling Adult Mortality in Small Populations: The Saint Model120 cited
  • 2007Longevity risk in portfolios of pension annuities105 cited

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  • 2014A General Procedure for Constructing Mortality Models101 cited
  • Cited by

    • 2015Identifiability in Age/Period/Cohort Mortality Models36 cited
    • 2017Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard34 cited
    • 2019Forecasting mortality rate improvements with a high-dimensional VAR33 cited
    • 2015The choice of sample size for mortality forecasting: A Bayesian learning approach33 cited
    • 2014Longevity Basis Risk A methodology for assessing basis risk30 cited
    • 2021Estimation of the Combined Effects of Ageing and Seasonality on Mortality Risk: An Application to Spain17 cited
    • 2019Incorporating big microdata in life table construction: A hypothesis-free estimator12 cited
    • 2017Modeling trend processes in parametric mortality models11 cited
    • 2014Modeling and Management of Longevity Risk11 cited
    • 2020Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing11 cited
    • 2022Assessing the Impact of the COVID-19 Shock on a Stochastic Multi-Population Mortality Model9 cited