Hostname: page-component-78c5997874-m6dg7 Total loading time: 0 Render date: 2024-11-19T17:44:41.667Z Has data issue: false hasContentIssue false

From atheoretical to informed mortality modelling

Published online by Cambridge University Press:  17 April 2015

Abstract

Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Sessional meetings: papers and abstracts of discussions
Copyright
© Institute and Faculty of Actuaries 2015 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Bai, J. & Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica, 70(1), 191221.CrossRefGoogle Scholar
Bai, J. & Ng, S. (2006). Evaluating latent and observed factors in macroeconomics and finance. Journal of Econometrics, 131(1–2), 507537.CrossRefGoogle Scholar
Cairns, A.J.G., Blake, D. & Dowd, K. (2006). A two-factor model for stochastic mortality with parameter uncertainty: theory and calibration. Journal of Risk and Insurance, 73(4), 687718.CrossRefGoogle Scholar
Currie, I.D. (2006). Smoothing and forecasting mortality rates with P-splines. Talk given at the Institute of Actuaries, June 2006.Google Scholar
Dowd, K., Cairns, A.J., Blake, D., Coughlan, G.D. & Khalaf-Allah, M. (2011). A gravity model of mortality rates for two related populations. North American Actuarial Journal, 15(2), 334356.CrossRefGoogle Scholar
French, D. (2014). International mortality modelling - an economic perspective. Economics Letters, 122(2), pp 182186.CrossRefGoogle Scholar
French, D. & O’Hare, C. (2014). Forecasting Death Rates Using Exogenous Determinants. Journal of Forecasting, 33(8), pp 640650.Google Scholar
King, G. & Soneji, S. (2011). The future of death in America. Demographic Research, 25, 138.Google ScholarPubMed
Lee, R.D. & Carter, L.R. (1992). Modeling and forecasting U.S. mortality. Journal of the American Statistical Association, 87(419), 659671.Google Scholar
Li, J.S. & Hardy, M.R. (2011). Measuring basis risk in longevity hedges. North American Actuarial Journal, 15(2), 177200.CrossRefGoogle Scholar
Plat, R. (2009). On stochastic mortality modeling. Insurance: Mathematics and Economics, 45(3), 393404.Google Scholar
Renshaw, A.E. & Haberman, S. (2006). A cohort-based extension to the Lee–Carter model for mortality reduction factors. Insurance: Mathematics and Economics, 38(3), 556570.Google Scholar
Skinner, J. & Staiger, D. (2009). Technology diffusion and productivity growth in health care, National Bureau of Economic Research. Working Paper 14865.Google Scholar