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Bayesian Poisson log-bilinear mortality projections

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  • Czado, Claudia
  • Delwarde, Antoine
  • Denuit, Michel
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4G4NDNV-1/2/069303a4df8b975d9c9a698e70c060fc
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    Bibliographic Info

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

    Volume (Year): 36 (2005)
    Issue (Month): 3 (June)
    Pages: 260-284

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    Handle: RePEc:eee:insuma:v:36:y:2005:i:3:p:260-284

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    Web page: http://www.elsevier.com/locate/inca/505554

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    References

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    1. Klugman, Stuart A., 1989. "Bayesian modelling of mortality catastrophes," Insurance: Mathematics and Economics, Elsevier, vol. 8(3), pages 159-164, November.
    2. Anatoli Yashin & Ivan Iachine & Alexander Begun, 2000. "Mortality modeling: A review," Mathematical Population Studies, Taylor & Francis Journals, vol. 8(4), pages 305-332.
    3. Chib, Siddhartha, 2001. "Markov chain Monte Carlo methods: computation and inference," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 57, pages 3569-3649 Elsevier.
    4. Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K., 2002. "A Poisson log-bilinear regression approach to the construction of projected lifetables," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 373-393, December.
    5. Petros Dellaportas & Adrian F. M. Smith & Photis Stavropoulos, 2001. "Bayesian analysis of mortality data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 164(2), pages 275-291.
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    Cited by:
    1. Jackie Li, 2014. "An application of MCMC simulation in mortality projection for populations with limited data," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 30(1), pages 1-48, January.
    2. Li, Johnny Siu-Hang, 2010. "Pricing longevity risk with the parametric bootstrap: A maximum entropy approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 176-186, October.
    3. Koissi, Marie-Claire & Shapiro, Arnold F., 2006. "Fuzzy formulation of the Lee-Carter model for mortality forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 287-309, December.
    4. Cairns, Andrew & Dowd, Kevin & Blake, David & Coughlan, Guy, 2011. "Longevity hedge effectiveness: a decomposition," MPRA Paper 34236, University Library of Munich, Germany.
    5. Streftaris, George & Worton, Bruce J., 2008. "Efficient and accurate approximate Bayesian inference with an application to insurance data," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2604-2622, January.
    6. Kogure, Atsuyuki & Kurachi, Yoshiyuki, 2010. "A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 162-172, February.
    7. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Centre de Recherche en Economie et Statistique.
    8. Adrian Raftery & Jennifer Chunn & Patrick Gerland & Hana Ševčíková, 2013. "Bayesian Probabilistic Projections of Life Expectancy for All Countries," Demography, Springer, vol. 50(3), pages 777-801, June.
    9. da Rocha Neves, Cesar & Migon, Helio S., 2007. "Bayesian graduation of mortality rates: An application to reserve evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 424-434, May.

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