Advanced Search
MyIDEAS: Login to save this article or follow this journal

On the forecasting of mortality reduction factors

Contents:

Author Info

  • Renshaw, A. E.
  • Haberman, S.
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V8N-48NX90H-2/2/37109db8f691beaab06192193ced861f
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 32 (2003)
    Issue (Month): 3 (July)
    Pages: 379-401

    as in new window
    Handle: RePEc:eee:insuma:v:32:y:2003:i:3:p:379-401

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Renshaw, A.E. & Haberman, S., 2008. "On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(2), pages 797-816, April.
    2. Rob J Hyndman & Heather Booth, 2006. "Stochastic population forecasts using functional data models for mortality, fertility and migration," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 14/06, Monash University, Department of Econometrics and Business Statistics.
    3. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Estimating the term structure of mortality," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(2), pages 492-504, April.
    4. Hatzopoulos, P. & Haberman, S., 2011. "A dynamic parameterization modeling for the age-period-cohort mortality," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 49(2), pages 155-174, September.
    5. Heather Booth & Rob Hyndman & Leonie Tickle & Piet de Jong, 2006. "Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 15(9), pages 289-310, October.
    6. Gao, Quansheng & Hu, Chengjun, 2009. "Dynamic mortality factor model with conditional heteroskedasticity," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(3), pages 410-423, December.
    7. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, Springer, vol. 158(2), pages 151-192, June.
    8. Koissi, Marie-Claire & Shapiro, Arnold F. & Hognas, Goran, 2006. "Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 38(1), pages 1-20, February.
    9. Han Lin Shang & Rob J Hyndman & Heather Booth, 2010. "A comparison of ten principal component methods for forecasting mortality rates," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 8/10, Monash University, Department of Econometrics and Business Statistics.
    10. Renshaw, A.E. & Haberman, S., 2006. "A cohort-based extension to the Lee-Carter model for mortality reduction factors," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 38(3), pages 556-570, June.
    11. Levantesi, Susanna & Menzietti, Massimiliano, 2012. "Managing longevity and disability risks in life annuities with long term care," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 50(3), pages 391-401.
    12. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 43(1), pages 174-184, August.
    13. Booth, Heather, 2006. "Demographic forecasting: 1980 to 2005 in review," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(3), pages 547-581.
    14. Jorge Bravo & Carlos Pereira da Silva, 2012. "Prospective Lifetables: Life Insurance Pricing and Hedging in a Stochastic Mortality Environment," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal) 2012_01, University of Evora, CEFAGE-UE (Portugal).
    15. Pitacco, Ermanno, 2004. "Survival models in a dynamic context: a survey," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 35(2), pages 279-298, October.
    16. Jorge Bravo, 2011. "Pricing Longevity Bonds Using Affine-Jump Diffusion Models," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal) 2011_29, University of Evora, CEFAGE-UE (Portugal).
    17. D’Amato, Valeria & Haberman, Steven & Piscopo, Gabriella & Russolillo, Maria, 2012. "Modelling dependent data for longevity projections," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 51(3), pages 694-701.
    18. Mariarosaria Coppola & Valeria D'Amato, 2012. "Backtesting the solvency capital requirement for longevity risk," Journal of Risk Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 13(4), pages 309-319.
    19. Hatzopoulos, P. & Haberman, S., 2009. "A parameterized approach to modeling and forecasting mortality," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 44(1), pages 103-123, February.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:32:y:2003:i:3:p:379-401. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.