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A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States

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Cited by:

  1. Simon Schnürch & Torsten Kleinow & Ralf Korn, 2021. "Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model," Risks, MDPI, vol. 9(3), pages 1-32, March.
  2. 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, vol. 48(3), pages 355-367, May.
  3. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
  4. Salvatore Scognamiglio & Mario Marino, 2023. "Backtesting stochastic mortality models by prediction interval-based metrics," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(4), pages 3825-3847, August.
  5. Han Lin Shang & Steven Haberman, 2020. "Retiree Mortality Forecasting: A Partial Age-Range or a Full Age-Range Model?," Risks, MDPI, vol. 8(3), pages 1-11, July.
  6. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
  7. Luca De Mori & Pietro Millossovich & Rui Zhu & Steven Haberman, 2024. "Two-Population Mortality Forecasting: An Approach Based on Model Averaging," Risks, MDPI, vol. 12(4), pages 1-17, March.
  8. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
  9. Alois Pichler & Dana Uhlig, 2021. "Mortality in Germany during the Covid-19 pandemic," Papers 2107.12899, arXiv.org, revised Apr 2022.
  10. Paul Doukhan & Joseph Rynkiewicz & Yahia Salhi, 2021. "Optimal Neighborhood Selection for AR-ARCH Random Fields with Application to Mortality," Stats, MDPI, vol. 5(1), pages 1-26, December.
  11. Emilio Bisetti & Carlo Favero, 2014. "Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 87-103.
  12. FLICI, Farid, 2016. "The future of longevity and life annuities pricing in Algeria: comparison of mortality models," SocArXiv 2tdgm, Center for Open Science.
  13. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
  14. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
  15. Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko, 2017. "Actuarial Applications and Estimation of Extended CreditRisk+," Risks, MDPI, vol. 5(2), pages 1-29, March.
  16. Li, Han & O’Hare, Colin, 2017. "Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 166-176.
  17. Lenny Stoeldraijer & Coen van Duin & Leo van Wissen & Fanny Janssen, 2013. "Impact of different mortality forecasting methods and explicit assumptions on projected future life expectancy: The case of the Netherlands," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 29(13), pages 323-354.
  18. Ayuso, Mercedes & Bravo, Jorge M. & Holzmann, Robert, 2021. "Getting life expectancy estimates right for pension policy: period versus cohort approach," Journal of Pension Economics and Finance, Cambridge University Press, vol. 20(2), pages 212-231, April.
  19. Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.
  20. Frank van Berkum & Katrien Antonio & Michel Vellekoop, 2021. "Quantifying longevity gaps using micro‐level lifetime data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(2), pages 548-570, April.
  21. Yang, Bowen & Li, Jackie & Balasooriya, Uditha, 2015. "Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 16-27.
  22. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
  23. Søren Kjærgaard & Yunus Emre Ergemen & Marie-Pier Bergeron Boucher & Jim Oeppen & Malene Kallestrup-Lamb, 2019. "Longevity forecasting by socio-economic groups using compositional data analysis," CREATES Research Papers 2019-08, Department of Economics and Business Economics, Aarhus University.
  24. David Blake & Christophe Courbage & Richard MacMinn & Michael Sherris, 2011. "Longevity Risk and Capital Markets: The 2010–2011 Update," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 489-500, October.
  25. Tsai, Cary Chi-Liang & Cheng, Echo Sihan, 2021. "Incorporating statistical clustering methods into mortality models to improve forecasting performances," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 42-62.
  26. Carfora, M.F. & Cutillo, L. & Orlando, A., 2017. "A quantitative comparison of stochastic mortality models on Italian population data," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 198-214.
  27. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
  28. Susanna Levantesi & Virginia Pizzorusso, 2019. "Application of Machine Learning to Mortality Modeling and Forecasting," Risks, MDPI, vol. 7(1), pages 1-19, February.
  29. Stephen Richards, 2010. "Author's response," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(4), pages 920-924, October.
  30. Dorota Toczydlowska & Gareth W. Peters & Man Chung Fung & Pavel V. Shevchenko, 2017. "Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principal Components," Risks, MDPI, vol. 5(3), pages 1-77, July.
  31. Uditha Balasooriya & Johnny Siu-Hang Li & Jackie Li, 2020. "The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk," Risks, MDPI, vol. 8(3), pages 1-27, August.
  32. Rokas Gylys & Jonas Šiaulys, 2019. "Revisiting Calibration of the Solvency II Standard Formula for Mortality Risk: Does the Standard Stress Scenario Provide an Adequate Approximation of Value-at-Risk?," Risks, MDPI, vol. 7(2), pages 1-24, May.
  33. David McCarthy, 2021. "80 will be the new 70: Old‐age mortality postponement in the United States and its likely effect on the finances of the OASI program," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(2), pages 381-412, June.
  34. Lei He & Tianquan Zhong & Zhenqi Wang, 2023. "Assessing Delayed Retirement Policies Linked to Dynamic Life Expectancy with Stochastic Dynamic Mortality," Mathematics, MDPI, vol. 11(24), pages 1-16, December.
  35. Graziani, Rebecca & NIGRI, ANDREA, 2023. "An Age–Period–Cohort Model in a Dirichlet Framework: A Coherent Causes of Death Estimation," SocArXiv 856yw, Center for Open Science.
  36. Carlo Maccheroni & Samuel Nocito, 2017. "Backtesting the Lee–Carter and the Cairns–Blake–Dowd Stochastic Mortality Models on Italian Death Rates," Risks, MDPI, vol. 5(3), pages 1-23, July.
  37. Benchimol, Andrés Gustavo & Albarrán Lozano, Irene & Marín Díazaraque, Juan Miguel & Alonso, Pablo J., 2015. "Hierarchical Lee-Carter model estimation through data cloning applied to demographically linked countries," DES - Working Papers. Statistics and Econometrics. WS ws1510, Universidad Carlos III de Madrid. Departamento de Estadística.
  38. Gao, Huan & Mamon, Rogemar & Liu, Xiaoming & Tenyakov, Anton, 2015. "Mortality modelling with regime-switching for the valuation of a guaranteed annuity option," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 108-120.
  39. Chong It Tan & Jackie Li & Johnny Siu-Hang Li & Uditha Balasooriya, 2016. "Stochastic modelling of the hybrid survival curve," Journal of Population Research, Springer, vol. 33(4), pages 307-331, December.
  40. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  41. Karim Barigou & Stéphane Loisel & Yahia Salhi, 2020. "Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect," Risks, MDPI, vol. 9(1), pages 1-18, December.
  42. Ufuk Beyaztas & Hanlin Shang, 2022. "Machine-Learning-Based Functional Time Series Forecasting: Application to Age-Specific Mortality Rates," Forecasting, MDPI, vol. 4(1), pages 1-15, March.
  43. Lydia Dutton & Athanasios A. Pantelous & Malgorzata Seklecka, 2020. "The impact of economic growth in mortality modelling for selected OECD countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 533-550, April.
  44. Plat, Richard, 2011. "One-year Value-at-Risk for longevity and mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 462-470.
  45. Norkhairunnisa Redzwan & Rozita Ramli, 2022. "A Bibliometric Analysis of Research on Stochastic Mortality Modelling and Forecasting," Risks, MDPI, vol. 10(10), pages 1-17, October.
  46. Pavel V. Shevchenko & Xiaolin Luo, 2016. "A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework," Risks, MDPI, vol. 4(3), pages 1-31, July.
  47. Carlo Favero & Marco Giacoletti, 2011. "Progress in Medicine, Limits to Life and Forecasting Mortality," Working Papers 406, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  48. Igawa Takayuki, 2013. "Analysis of the Residual Structure of the Lee–Carter Model: The Case of Japanese Mortality," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 7(2), pages 53-80, July.
  49. Colin O’hare & Youwei Li, 2017. "Models of mortality rates – analysing the residuals," Applied Economics, Taylor & Francis Journals, vol. 49(52), pages 5309-5323, November.
  50. FLICI, Farid, 2015. "Provisionnement des rentes viagères en Algérie entre approche statique et approche prospective [Life Annuities Reserving in Algeria between static approach and prospective approach]," MPRA Paper 91917, University Library of Munich, Germany.
  51. David Blake, 2018. "Longevity: a new asset class," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 278-300, September.
  52. Haberman, Steven & Renshaw, Arthur, 2012. "Parametric mortality improvement rate modelling and projecting," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 309-333.
  53. Zoë Fannon & B. Nielsen, 2018. "Age-period cohort models," Economics Papers 2018-W04, Economics Group, Nuffield College, University of Oxford.
  54. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
  55. Cocco, João F. & Gomes, Francisco J., 2012. "Longevity risk, retirement savings, and financial innovation," Journal of Financial Economics, Elsevier, vol. 103(3), pages 507-529.
  56. Jorge Miguel Bravo & Mercedes Ayuso & Robert Holzmann & Edward Palmer, 2021. "Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age," CESifo Working Paper Series 9408, CESifo.
  57. Fabrizio Culotta, 2021. "Life Expectancy Heterogeneity and Pension Fairness: An Italian North-South Divide," Risks, MDPI, vol. 9(3), pages 1-22, March.
  58. 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.
  59. Yang, Sharon S. & Wang, Chou-Wen, 2013. "Pricing and securitization of multi-country longevity risk with mortality dependence," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 157-169.
  60. Goecke, Oskar, 2015. "Asset Liability-Management in einem selbstfinanzierenden Pensionsfonds," Forschung am ivwKöln 9/2015, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.
  61. Dowd, Kevin & Buckner, Dean & Blake, David & Fry, John, 2019. "The valuation of no-negative equity guarantees and equity release mortgages," Economics Letters, Elsevier, vol. 184(C).
  62. Li, Hong & De Waegenaere, Anja & Melenberg, Bertrand, 2015. "The choice of sample size for mortality forecasting: A Bayesian learning approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 153-168.
  63. Li, Hong & Lu, Yang, 2017. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," ASTIN Bulletin, Cambridge University Press, vol. 47(2), pages 563-600, May.
  64. Yue, Jack C. & Wang, Hsin-Chung & Leong, Yin-Yee & Su, Wei-Ping, 2018. "Using Taiwan National Health Insurance Database to model cancer incidence and mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 316-324.
  65. Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2017. "Cohort effects in mortality modelling: a Bayesian state-space approach," Papers 1703.08282, arXiv.org.
  66. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
  67. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
  68. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2023. "Thirty years on: A review of the Lee–Carter method for forecasting mortality," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1033-1049.
  69. F. Peters & J. P. Mackenbach & W. J. Nusselder, 2016. "Does the Impact of the Tobacco Epidemic Explain Structural Changes in the Decline of Mortality?," European Journal of Population, Springer;European Association for Population Studies, vol. 32(5), pages 687-702, December.
  70. Ekheden, Erland & Hössjer, Ola, 2015. "Multivariate time series modeling, estimation and prediction of mortalities," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 156-171.
  71. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.
  72. Zhao, Yixing & Mamon, Rogemar, 2018. "An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 1-12.
  73. Johnny Siu‐Hang Li & Andrew Cheuk‐Yin Ng, 2011. "Canonical Valuation of Mortality‐Linked Securities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(4), pages 853-884, December.
  74. Danesi, Ivan Luciano & Haberman, Steven & Millossovich, Pietro, 2015. "Forecasting mortality in subpopulations using Lee–Carter type models: A comparison," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 151-161.
  75. 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.
  76. Colin O’hare & Youwei Li, 2017. "Modelling mortality: are we heading in the right direction?," Applied Economics, Taylor & Francis Journals, vol. 49(2), pages 170-187, January.
  77. Ugofilippo Basellini & Søren Kjærgaard & Carlo Giovanni Camarda, 2020. "An age-at-death distribution approach to forecast cohort mortality," Working Papers axafx5_3agsuwaphvlfk, French Institute for Demographic Studies.
  78. Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun, 2021. "Gompertz law revisited: Forecasting mortality with a multi-factor exponential model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 268-281.
  79. Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 485564, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
  80. Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2016. "A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting," Papers 1605.09484, arXiv.org.
  81. Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
  82. 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, vol. 46(1), pages 254-270, February.
  83. David Atance & Alejandro Balbás & Eliseo Navarro, 2020. "Constructing dynamic life tables with a single-factor model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(2), pages 787-825, December.
  84. Alexandre Boumezoued & Amal Elfassihi, 2020. "Mortality data correction in the absence of monthly fertility records," Working Papers hal-02634631, HAL.
  85. Tickle Leonie & Booth Heather, 2014. "The Longevity Prospects of Australian Seniors: An Evaluation of Forecast Method and Outcome," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 8(2), pages 1-34, July.
  86. Fabrice Balland & Alexandre Boumezoued & Laurent Devineau & Marine Habart & Tom Popa, 2018. "Mortality data reliability in an internal model," Working Papers hal-01719216, HAL.
  87. Jackie Li & Atsuyuki Kogure, 2021. "Bayesian Mixture Modelling for Mortality Projection," Risks, MDPI, vol. 9(4), pages 1-12, April.
  88. Zhou, Rui & Ji, Min, 2021. "Modelling mortality dependence: An application of dynamic vine copula," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 241-255.
  89. David Atance & Ana Debón & Eliseo Navarro, 2020. "A Comparison of Forecasting Mortality Models Using Resampling Methods," Mathematics, MDPI, vol. 8(9), pages 1-21, September.
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  91. Apostolos Bozikas & Georgios Pitselis, 2019. "Credible Regression Approaches to Forecast Mortality for Populations with Limited Data," Risks, MDPI, vol. 7(1), pages 1-22, February.
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  93. Mercedes Ayuso & Jorge M. Bravo & Robert Holzmann & Edward Palmer, 2021. "Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters," Risks, MDPI, vol. 9(5), pages 1-28, May.
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  119. Kevin Dowd & David Blake, 2022. "Projecting Mortality Rates to Extreme Old Age with the CBDX Model," Forecasting, MDPI, vol. 4(1), pages 1-11, February.
  120. Rizzi, Silvia & Kjærgaard, Søren & Bergeron Boucher, Marie-Pier & Camarda, Carlo Giovanni & Lindahl-Jacobsen, Rune & Vaupel, James W., 2021. "Killing off cohorts: Forecasting mortality of non-extinct cohorts with the penalized composite link model," International Journal of Forecasting, Elsevier, vol. 37(1), pages 95-104.
  121. Hwang Yawen & Huang Hong-Chih, 2012. "Modified Logistic Model for Mortality Forecasting and the Application of Mortality-Linked Securities," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 6(1), pages 1-20, February.
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  123. S⊘ren Kjærgaard & Yunus Emre Ergemen & Marie‐Pier Bergeron‐Boucher & Jim Oeppen & Malene Kallestrup‐Lamb, 2020. "Longevity forecasting by socio‐economic groups using compositional data analysis," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(3), pages 1167-1187, June.
  124. Barigou, Karim & Goffard, Pierre-Olivier & Loisel, Stéphane & Salhi, Yahia, 2023. "Bayesian model averaging for mortality forecasting using leave-future-out validation," International Journal of Forecasting, Elsevier, vol. 39(2), pages 674-690.
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