A Bayesian Comparison of Models for Changing Mortalities toward Evaluating Longevity Risk in Japan
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References listed on IDEAS
- Czado, Claudia & Delwarde, Antoine & Denuit, Michel, 2005. "Bayesian Poisson log-bilinear mortality projections," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 260-284, June.
- Renshaw, A. E. & Haberman, S., 2003. "Lee-Carter mortality forecasting with age-specific enhancement," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 255-272, October.
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- 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.
- 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.
- Schinzinger, Edo & Denuit, Michel M. & Christiansen, Marcus C., 2016. "A multivariate evolutionary credibility model for mortality improvement rates," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 70-81.
- 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.
- 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.
- 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.
- 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.
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