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Robustness and convergence in the Lee–Carter model with cohort effects · Study

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ArticleRobustness and convergence in the Lee–Carter model with cohort effects

Andrew Hunt2015

Article2015

Robustness and convergence in the Lee–Carter model with cohort effects

Andrew Hunt · Andrés M. Villegas

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

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Insurance, Mortality, Demography, Risk Management Statistical Distribution Estimation and Applications Statistical Methods in Epidemiology

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References

1992Modeling and Forecasting U. S. Mortality 2006A cohort-based extension to the Lee–Carter model for mortality reduction factors 2002A Poisson log-bilinear regression approach to the construction of projected lifetables 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States 2000A universal pattern of mortality decline in the G7 countries 2002Applying Lee-Carter under conditions of variable mortality decline 2011Mortality density forecasts: An analysis of six stochastic mortality models 2003Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections

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2019Application of Machine Learning to Mortality Modeling and Forecasting 2017COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH 2021Addressing the life expectancy gap in pension policy 2021Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters 2017A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting

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2015On the Structure and Classification of Mortality Modelsarticle · 16 shared references 2020Identifiability in age/period mortality modelsarticle · 15 shared references 2022Thirty years on: A review of the Lee–Carter method for forecasting mortalityarticle · 13 shared references 2015Identifiability in Age/Period/Cohort Mortality Modelsarticle · 13 shared references 2017A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGESarticle · 11 shared references 2008Mortality, longevity and experiments with the Lee–Carter modelarticle · 11 shared references

Details

Year2015

Typearticle

Published2015-05-22

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations65

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

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doi10.1016/j.insmatheco.2015.05.004

openalex_workW342779847

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2021Pricing participating longevity-linked life annuities: a Bayesian Model Ensemble approach

2015Identifiability in Age/Period/Cohort Mortality Models

2019Forecasting mortality rate improvements with a high-dimensional VAR