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Multi-Population Mortality Models: A Factor Copula Approach
16 references·16 citing·38 second hopsampled
Multi-Population Mortality Models: A Factor Copula Approach (2014)Multi-Population Mortality Models: A Fact…Estimation of multivariate models for time series of possibly different lengths (2006)Estimation of multivariate mo…A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)A Two‐Factor Model for Stocha…A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)A cohort-based extension to t…Coherent mortality forecasts for a group of populations: An extension of the lee-carter method (2005)Coherent mortality forecasts …Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)Valuation of a CDO and an n -…Asymptotic efficiency of the two-stage estimation method for copula-based models (2004)Asymptotic efficiency of the …Handbook of Heavy Tailed Distributions in Finance (2003)Handbook of Heavy Tailed Dist…Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality (2001)Evaluating the Performance of…The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…On Default Correlation (2000)On Default CorrelationAn Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…NEIGHBOURING PREDICTION FOR MORTALITY (2021)NEIGHBOURING PREDICTION FOR M…Multi-output Gaussian processes for multi-population longevity modelling (2021)Multi-output Gaussian process…Modelling mortality dependence: An application of dynamic vine copula (2021)Modelling mortality dependenc…Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model (2021)Clustering-Based Extensions o…On the use of Archimedean copulas for insurance modelling (2020)On the use of Archimedean cop…MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS (2019)MODELLING MORTALITY DEPENDENC…Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know? (2019)Longevity Greeks: What Do Ins…Forecasting mortality rate improvements with a high-dimensional VAR (2019)Forecasting mortality rate im…ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION (2019)ANALYZING MORTALITY BOND INDE…Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard (2017)Producing the Dutch and Belgi…Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model With the GAS Structure (2017)Mortality Dependence and Long…Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach (2017)Modeling Multicountry Longevi…A class of random field memory models for mortality forecasting (2017)A class of random field memor…Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization (2016)Semicoherent Multipopulation …The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds (2015)The age pattern of transitory…Stochastic Reorder Point-Lot Size (r,Q) Inventory Model under Maximum Entropy Principle (2015)Stochastic Reorder Point-Lot …Broken Limits to Life Expectancy (2002)Demographic forecasting: 1980 to 2005 in review (2006)The Outlook for Population Growth (2011)Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models (2012)A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)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)Mortality density forecasts: An analysis of six stochastic mortality models (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)Copula Modeling: An Introduction for Practitioners (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Credit Risk: Modeling, Valuation and Hedging (2004)Quantitative Risk Management (2011)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)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)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Generalized autoregressive conditional heteroskedasticity (1986)
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References

  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2000On Default Correlation1,257 cited
  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
  • 2006A cohort-based extension to the Lee–Carter model for mortality reduction factors734 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 2005Coherent mortality forecasts for a group of populations: An extension of the lee-carter method623 cited
  • 2004Asymptotic efficiency of the two-stage estimation method for copula-based models602 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
  • 2001Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality523 cited
  • 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
  • 2006Estimation of multivariate models for time series of possibly different lengths

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421 cited
  • 2003Handbook of Heavy Tailed Distributions in Finance387 cited
  • Cited by

    • 2016Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization35 cited
    • 2017Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard34 cited
    • 2019Forecasting mortality rate improvements with a high-dimensional VAR33 cited
    • 2021NEIGHBOURING PREDICTION FOR MORTALITY32 cited
    • 2017Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model With the GAS Structure29 cited
    • 2015The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds28 cited
    • 2020On the use of Archimedean copulas for insurance modelling28 cited
    • 2017Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach25 cited
    • 2021Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model21 cited
    • 2017A class of random field memory models for mortality forecasting16 cited
    • 2019ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION16 cited
    • 2015Stochastic Reorder Point-Lot Size (r,Q) Inventory Model under Maximum Entropy Principle16 cited
    • 2021Modelling mortality dependence: An application of dynamic vine copula15 cited
    • 2019MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS14 cited
    • 2019Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?13 cited
    • 2021Multi-output Gaussian processes for multi-population longevity modelling12 cited