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Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval

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  • Koissi, Marie-Claire
  • Shapiro, Arnold F.
  • Hognas, Goran
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4GSJX8M-1/2/a08c512dc18e1d76304bc53c73f0ae15
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    Bibliographic Info

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

    Volume (Year): 38 (2006)
    Issue (Month): 1 (February)
    Pages: 1-20

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    Handle: RePEc:eee:insuma:v:38:y:2006:i:1:p:1-20

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

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Hoedemakers, Tom & Beirlant, Jan & Goovaerts, Marc J. & Dhaene, Jan, 2003. "Confidence bounds for discounted loss reserves," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 297-316, October.
    2. Renshaw, A. E. & Haberman, S., 2003. "On the forecasting of mortality reduction factors," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 379-401, July.
    3. John Bongaarts, 2004. "Population Aging and the Rising Cost of Public Pensions," Population and Development Review, The Population Council, Inc., vol. 30(1), pages 1-23.
    4. England, Peter & Verrall, Richard, 1999. "Analytic and bootstrap estimates of prediction errors in claims reserving," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 281-293, December.
    5. Carter, Lawrence R. & Lee, Ronald D., 1992. "Modeling and forecasting US sex differentials in mortality," International Journal of Forecasting, Elsevier, vol. 8(3), pages 393-411, November.
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    Cited by:
    1. Lee, Yung-Tsung & Wang, Chou-Wen & Huang, Hong-Chih, 2012. "On the valuation of reverse mortgages with regular tenure payments," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 430-441.
    2. Thomas Post & Katja Hanewald, 2011. "Longevity Risk, Subjective Survival Expectations, and Individual Saving Behavior," Working Papers 201111, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
    3. van Baal, Pieter H. & Wong, Albert, 2012. "Time to death and the forecasting of macro-level health care expenditures: Some further considerations," Journal of Health Economics, Elsevier, vol. 31(6), pages 876-887.
    4. D’Amato, Valeria & Haberman, Steven & Piscopo, Gabriella & Russolillo, Maria, 2012. "Modelling dependent data for longevity projections," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 694-701.
    5. Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan, 2013. "A feasible natural hedging strategy for insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 532-541.
    6. 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 8/10, Monash University, Department of Econometrics and Business Statistics.
    7. 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.
    8. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    9. Hendrik Hansen, 2013. "The forecasting performance of mortality models," AStA Advances in Statistical Analysis, Springer, vol. 97(1), pages 11-31, January.
    10. Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y., 2010. "On the optimal product mix in life insurance companies using conditional value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 235-241, February.

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