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Citations for "A Poisson log-bilinear regression approach to the construction of projected lifetables"

by Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K.

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  1. 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.
  2. Haberman, Steven & Renshaw, Arthur, 2012. "Parametric mortality improvement rate modelling and projecting," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 50(3), pages 309-333.
  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. Petar Jevtic & Elisa Luciano & Elena Vigna, 2012. "Mortality Surface by Means of Continuous Time Cohort Models," Carlo Alberto Notebooks, Collegio Carlo Alberto 264, Collegio Carlo Alberto, revised 2013.
  5. Plat, Richard, 2009. "On stochastic mortality modeling," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(3), pages 393-404, December.
  6. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
  7. Frédéric Planchet & Marc Juillard & Pierre-Emmanuel Thérond, 2008. "Perturbations extrêmes sur la dérive de mortalité anticipée," Post-Print, HAL hal-00397324, HAL.
  8. Elisa Luciano & Elena Vigna, 2005. "Non mean reverting affine processes for stochastic mortality," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research 4-2005, ICER - International Centre for Economic Research.
  9. 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.
  10. 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, Elsevier, vol. 51(2), pages 430-441.
  11. 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.
  12. Kogure, Atsuyuki & Kurachi, Yoshiyuki, 2010. "A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 46(1), pages 162-172, February.
  13. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, Springer, vol. 158(2), pages 151-192, June.
  14. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Longevity risk in portfolios of pension annuities," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(2), pages 505-519, April.
  15. Li, Johnny Siu-Hang, 2010. "Pricing longevity risk with the parametric bootstrap: A maximum entropy approach," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 47(2), pages 176-186, October.
  16. Richter, Andreas & Weber, Frederik, 2009. "Mortality-Indexed Annuities," Discussion Papers in Business Administration, University of Munich, Munich School of Management 10994, University of Munich, Munich School of Management.
  17. Hendrik Hansen, 2013. "The forecasting performance of mortality models," AStA Advances in Statistical Analysis, Springer, Springer, vol. 97(1), pages 11-31, January.
  18. Bohnert, Alexander & Gatzert, Nadine, 2012. "Analyzing surplus appropriation schemes in participating life insurance from the insurer’s and the policyholder’s perspective," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 50(1), pages 64-78.
  19. Katja Hanewald & Thomas Post & Helmut Gründl, 2009. "Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2009-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  20. Leora Friedberg & Anthony Webb, 2006. "Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk," NBER Working Papers 11984, National Bureau of Economic Research, Inc.
  21. Bauer, Daniel & Weber, Frederik, 2007. "Assessing Investment and Longevity Risks within Immediate Annuities," Discussion Papers in Business Administration, University of Munich, Munich School of Management 1982, University of Munich, Munich School of Management.
  22. Katja Hanewald, 2009. "Mortality modeling: Lee-Carter and the macroeconomy," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2009-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  23. Plat, Richard, 2009. "Stochastic portfolio specific mortality and the quantification of mortality basis risk," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(1), pages 123-132, August.
  24. Czado, Claudia & Delwarde, Antoine & Denuit, Michel, 2005. "Bayesian Poisson log-bilinear mortality projections," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 36(3), pages 260-284, June.
  25. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2010. "Evaluating the goodness of fit of stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 47(3), pages 255-265, December.
  26. Stevens, Ralph & De Waegenaere, Anja & Melenberg, Bertrand, 2010. "Longevity risk in pension annuities with exchange options: The effect of product design," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 46(1), pages 222-234, February.
  27. Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J., 2011. "Calibrating affine stochastic mortality models using term assurance premiums," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 49(1), pages 53-60, July.
  28. Ahcan, Ales & Medved, Darko & Olivieri, Annamaria & Pitacco, Ermanno, 2014. "Forecasting mortality for small populations by mixing mortality data," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 54(C), pages 12-27.
  29. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 48(3), pages 355-367, May.
  30. A. Debòn & S. Haberman & F. Montes & E. Otranto, 2012. "Model effect on projected mortality indicators," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201215, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  31. Date, P. & Mamon, R. & Jalen, L. & Wang, I.C., 2010. "A linear algebraic method for pricing temporary life annuities and insurance policies," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 47(1), pages 98-104, August.
  32. 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.
  33. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
  34. 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, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 30(1), pages 1-48, January.
  35. Kamil Jodź, 2013. "Stochastyczne modelowanie intensywności zgonów na przykładzie Polski," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 199-213.
  36. Haberman, Steven & Renshaw, Arthur, 2013. "Modelling and projecting mortality improvement rates using a cohort perspective," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(1), pages 150-168.
  37. Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan, 2013. "A feasible natural hedging strategy for insurance companies," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 52(3), pages 532-541.
  38. Yang, Sharon S. & Wang, Chou-Wen, 2013. "Pricing and securitization of multi-country longevity risk with mortality dependence," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 52(2), pages 157-169.
  39. Denuit, Michel, 2008. "Comonotonic approximations to quantiles of life annuity conditional expected present value," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(2), pages 831-838, April.
  40. Debon, A. & Montes, F. & Mateu, J. & Porcu, E. & Bevilacqua, M., 2008. "Modelling residuals dependence in dynamic life tables: A geostatistical approach," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 3128-3147, February.
  41. 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).
  42. 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, Elsevier, vol. 46(1), pages 235-241, February.
  43. Yang, Sharon S. & Yue, Jack C. & Huang, Hong-Chih, 2010. "Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 46(1), pages 254-270, February.
  44. 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).
  45. Pitacco, Ermanno, 2004. "Survival models in a dynamic context: a survey," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 35(2), pages 279-298, October.
  46. Ornelas, Arelly & Guillén, Montserrat, 2013. "A Comparison between General Population Mortality and Life Tables for Insurance in Mexico under Gender Proportion Inequality || Una comparación entre la mortalidad de la población general y las tabl," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative M, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 16(1), pages 47-67, December.
  47. Su, Karen C., 2010. "The conversion option in life insurance," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 46(3), pages 437-442, June.
  48. 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.
  49. Ben Dbabis, Makram, 2012. "Modèles et méthodes actuarielles pour l'évaluation quantitative des risques en environnement solvabilité II," Economics Thesis from University Paris Dauphine, Paris Dauphine University, Paris Dauphine University, number 123456789/11415 edited by Hess, Christian.
  50. Edouard Debonneuil, 2010. "A simple model of mortality trends aiming at universality: Lee Carter + Cohort," Papers, arXiv.org 1003.1802, arXiv.org.
  51. Melnikov, Alexander & Romaniuk, Yulia, 2006. "Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 39(3), pages 310-329, December.
  52. Shen, Yang & Siu, Tak Kuen, 2013. "Longevity bond pricing under stochastic interest rate and mortality with regime-switching," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 52(1), pages 114-123.
  53. Markéta Arltová & Jitka Langhamrová & Jana Langhamrová, 2013. "Development of Life Expectancy in the Czech Republic in Years 1920-2010 with an Outlook to 2050," Prague Economic Papers, University of Economics, Prague, University of Economics, Prague, vol. 2013(1), pages 125-143.
  54. Olivieri, Annamaria & Pitacco, Ermanno, 2008. "Assessing the cost of capital for longevity risk," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(3), pages 1013-1021, June.