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Coherent mortality forecasts for a group of populations: An extension of the lee-carter method

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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. Andrew J. G. Cairns & David Blake & Kevin Dowd & Amy R. Kessler, 2016. "Phantoms never die: living with unreliable population data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 179(4), pages 975-1005, October.
  3. Hong Li & Yang Lu & Pintao Lyu, 2021. "Coherent Mortality Forecasting for Less Developed Countries," Risks, MDPI, vol. 9(9), pages 1-21, August.
  4. Marie-Pier Bergeron-Boucher & Vladimir Canudas-Romo & James E. Oeppen & James W. Vaupel, 2017. "Coherent forecasts of mortality with compositional data analysis," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 37(17), pages 527-566.
  5. Emanuele Aliverti & Stefano Mazzuco & Bruno Scarpa, 2022. "Dynamic modelling of mortality via mixtures of skewed distribution functions," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(3), pages 1030-1048, July.
  6. Yahia Salhi & Stéphane Loisel, 2012. "Basis risk modelling: a co-integration based approach," Working Papers hal-00746859, HAL.
  7. Debón, A. & Chaves, L. & Haberman, S. & Villa, F., 2017. "Characterization of between-group inequality of longevity in European Union countries," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 151-165.
  8. Leng, Xuan & Peng, Liang, 2016. "Inference pitfalls in Lee–Carter model for forecasting mortality," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 58-65.
  9. David de la Croix & Omar Licandro, 2013. "The Child is Father Of the Man: Implications for the Demographic Transition," Economic Journal, Royal Economic Society, vol. 123(567), pages 236-261, March.
  10. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
  11. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.
  12. Søren Kjærgaard & Yunus Emre Ergemen & Malene Kallestrup-Lamb & Jim Oeppen & Rune Lindahl-Jacobsen, 2019. "Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths," CREATES Research Papers 2019-07, Department of Economics and Business Economics, Aarhus University.
  13. 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.
  14. Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & Marwa Khalaf-Allah, 2011. "A Gravity Model of Mortality Rates for Two Related Populations," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 334-356.
  15. Marie-Pier Bergeron-Boucher & Søren Kjærgaard & James E. Oeppen & James W. Vaupel, 2019. "The impact of the choice of life table statistics when forecasting mortality," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 41(43), pages 1235-1268.
  16. Snorre Jallbjørn & Søren Fiig Jarner, 2022. "Sex Differential Dynamics in Coherent Mortality Models," Forecasting, MDPI, vol. 4(4), pages 1-26, September.
  17. Booth, Heather, 2006. "Demographic forecasting: 1980 to 2005 in review," International Journal of Forecasting, Elsevier, vol. 22(3), pages 547-581.
  18. Rui Zhou & Johnny Siu-Hang Li & Ken Seng Tan, 2013. "Pricing Standardized Mortality Securitizations: A Two-Population Model With Transitory Jump Effects," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 733-774, September.
  19. 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.
  20. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
  21. Hippolyte d'Albis & Loesse Jacques Esso & Héctor Pifarré I Arolas, 2012. "Mortality Convergence Across High-Income Countries : An Econometric Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00755682, HAL.
  22. Rob Hyndman & Heather Booth & Farah Yasmeen, 2013. "Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models," Demography, Springer;Population Association of America (PAA), vol. 50(1), pages 261-283, February.
  23. Ahcan, Ales & Medved, Darko & Olivieri, Annamaria & Pitacco, Ermanno, 2014. "Forecasting mortality for small populations by mixing mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 12-27.
  24. 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.
  25. Bernard Baffour & James Raymer, 2019. "Estimating multiregional survivorship probabilities for sparse data: An application to immigrant populations in Australia, 1981–2011," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 40(18), pages 463-502.
  26. David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
  27. Shang, Han Lin & Haberman, Steven, 2017. "Grouped multivariate and functional time series forecasting:An application to annuity pricing," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 166-179.
  28. Yahia Salhi & Stéphane Loisel, 2017. "Basis risk modelling: a co-integration based approach," Post-Print hal-00746859, HAL.
  29. Hong Li & Yanlin Shi, 2021. "Mortality Forecasting with an Age-Coherent Sparse VAR Model," Risks, MDPI, vol. 9(2), pages 1-19, February.
  30. 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.
  31. Coughlan, Guy & Khalaf-Allah, Marwa & Ye, Yijing & Kumar, Sumit & Cairns, Andrew & Blake, David & Dowd, Kevin, 2011. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness," MPRA Paper 35743, University Library of Munich, Germany.
  32. Adrian E. Raftery & Nevena Lalic & Patrick Gerland, 2014. "Joint probabilistic projection of female and male life expectancy," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 30(27), pages 795-822.
  33. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
  34. 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.
  35. Raftery, Adrian E. & Ševčíková, Hana, 2023. "Probabilistic population forecasting: Short to very long-term," International Journal of Forecasting, Elsevier, vol. 39(1), pages 73-97.
  36. Selin Ozen & c{S}ule c{S}ahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Papers 2101.06690, arXiv.org.
  37. Gonzaga, Marcos Roberto & Queiroz, Bernardo L & Monteiro da Silva, José H C & Lima, Everton & Júnio, Walter P. Silva & DIOGENES, VICTOR HUGO DIAS & Flores-Ortiz, Renzo & da Costa, Lilia Carolina Carne, 2022. "Estimation and projection of probabilistic age- and sex-specific mortality rates across Brazilian municipalities between 2010 and 2030," OSF Preprints egrc9, Center for Open Science.
  38. French, Declan, 2014. "International mortality modelling—An economic perspective," Economics Letters, Elsevier, vol. 122(2), pages 182-186.
  39. Kung, Ko-Lun & MacMinn, Richard D. & Kuo, Weiyu & Tsai, Chenghsien Jason, 2022. "Multi-population mortality modeling: When the data is too much and not enough," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 41-55.
  40. Feng, Lingbing & Shi, Yanlin & Chang, Le, 2021. "Forecasting mortality with a hyperbolic spatial temporal VAR model," International Journal of Forecasting, Elsevier, vol. 37(1), pages 255-273.
  41. FLICI, Farid, 2016. "The future of longevity and life annuities pricing in Algeria: comparison of mortality models," SocArXiv 2tdgm, Center for Open Science.
  42. Quanbao Jiang & Shuzhuo Li & Marcus Feldman, 2011. "Demographic Consequences of Gender Discrimination in China: Simulation Analysis of Policy Options," Population Research and Policy Review, Springer;Southern Demographic Association (SDA), vol. 30(4), pages 619-638, August.
  43. Li, Jackie & Haberman, Steven, 2015. "On the effectiveness of natural hedging for insurance companies and pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 286-297.
  44. Syazreen Shair & Sachi Purcal & Nick Parr, 2017. "Evaluating Extensions to Coherent Mortality Forecasting Models," Risks, MDPI, vol. 5(1), pages 1-20, March.
  45. 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.
  46. Rebecca F. Gleditsch & Adrian F. Rogne & Astri Syse & Michael Thomas, 2021. "The accuracy of Statistics Norway’s national population projections," Discussion Papers 948, Statistics Norway, Research Department.
  47. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
  48. Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping, 2022. "Stochastic mortality dynamics driven by mixed fractional Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 218-238.
  49. David E Bloom & David Canning, 2006. "Global Demography: Fact, Force and Future," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Anna Park & Daniel Rees (ed.),Demography and Financial Markets, Reserve Bank of Australia.
  50. 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.
  51. 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.
  52. Yuan Gao & Han Lin Shang, 2017. "Multivariate Functional Time Series Forecasting: Application to Age-Specific Mortality Rates," Risks, MDPI, vol. 5(2), pages 1-18, March.
  53. 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.
  54. McCarthy, David G. & Wang, Po-Lin, 2021. "Pooling mortality risk in Eurozone state pension liabilities: An application of a Bayesian coherent multi-population cohort-based mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 459-485.
  55. Dalkhat M. Ediev, 2009. "Extrapolative Projections of Mortality: Towards a More Consistent Method," VID Working Papers 0803, Vienna Institute of Demography (VID) of the Austrian Academy of Sciences in Vienna.
  56. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
  57. 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.
  58. 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.
  59. Arkadiusz Wiśniowski & Peter Smith & Jakub Bijak & James Raymer & Jonathan Forster, 2015. "Bayesian Population Forecasting: Extending the Lee-Carter Method," Demography, Springer;Population Association of America (PAA), vol. 52(3), pages 1035-1059, June.
  60. Wan, Cheng & Bertschi, Ljudmila, 2015. "Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 66-75.
  61. Giuseppina Bozzo & Susanna Levantesi & Massimiliano Menzietti, 2021. "Longevity risk and economic growth in sub-populations: evidence from Italy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 101-115, June.
  62. Søren Kjærgaard & Vladimir Canudas-Romo, 2017. "Potential support ratios: Cohort versus period perspectives," Population Studies, Taylor & Francis Journals, vol. 71(2), pages 171-186, May.
  63. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
  64. 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.
  65. 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.
  66. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
  67. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
  68. Kleinow, Torsten, 2015. "A common age effect model for the mortality of multiple populations," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 147-152.
  69. Yongok Choi, 2020. "Impact of Longevity Risks on the Korean Government: Proposing a New Mortality Forecasting Model," Korean Economic Review, Korean Economic Association, vol. 36, pages 201-225.
  70. de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2016. "Coherent modeling of male and female mortality using Lee–Carter in a complex number framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 130-137.
  71. Jackie Li & Leonie Tickle & Nick Parr, 2016. "A multi-population evaluation of the Poisson common factor model for projecting mortality jointly for both sexes," Journal of Population Research, Springer, vol. 33(4), pages 333-360, December.
  72. 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.
  73. Polman, Fabian M. & Krijgsman, Cees & Dajani, Karma & Hemminga, Marcus A., 2017. "Modelling a Dutch Pension Fund’s Capital Requirement for Longevity Risk," MPRA Paper 79438, University Library of Munich, Germany.
  74. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2022. "Thirty years on: A review of the Lee-Carter method for forecasting mortality," SocArXiv 8u34d, Center for Open Science.
  75. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
  76. Liu, Yanxin & Li, Johnny Siu-Hang, 2015. "The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 135-150.
  77. 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.
  78. Kevin Dowd & David Blake & Andrew Cairns, 2010. "Facing up to uncertain life expectancy: The longevity fan charts," Demography, Springer;Population Association of America (PAA), vol. 47(1), pages 67-78, February.
  79. Adrian Raftery & Jennifer Chunn & Patrick Gerland & Hana Ševčíková, 2013. "Bayesian Probabilistic Projections of Life Expectancy for All Countries," Demography, Springer;Population Association of America (PAA), vol. 50(3), pages 777-801, June.
  80. Amos BATIONO & Leo ODONGO & Karim DERRA, 2020. "Compositional Data Analysis – Coherent Forecasting Mortality Model with Cohort Effect," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(1), pages 1-5.
  81. Tim J. Boonen & Hong Li, 2017. "Modeling and Forecasting Mortality With Economic Growth: A Multipopulation Approach," Demography, Springer;Population Association of America (PAA), vol. 54(5), pages 1921-1946, October.
  82. Hong Li & Yang Lu, 2018. "A Bayesian non-parametric model for small population mortality," Post-Print hal-02419000, HAL.
  83. Jevtić, Petar & Regis, Luca, 2019. "A continuous-time stochastic model for the mortality surface of multiple populations," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 181-195.
  84. Wang, Pengjie & Pantelous, Athanasios A. & Vahid, Farshid, 2023. "Multi-population mortality projection: The augmented common factor model with structural breaks," International Journal of Forecasting, Elsevier, vol. 39(1), pages 450-469.
  85. Fanny Janssen & Leo Wissen & Anton Kunst, 2013. "Including the Smoking Epidemic in Internationally Coherent Mortality Projections," Demography, Springer;Population Association of America (PAA), vol. 50(4), pages 1341-1362, August.
  86. Flici, Farrid, 2016. "Projection des taux de mortalité par âges pour la population algérienne [Forecasting The Age Specific Mortality Rates For The Algerian Population]," MPRA Paper 98784, University Library of Munich, Germany, revised Dec 2016.
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  88. Fujisawa Yosuke & Li Johnny Siu-Hang, 2011. "IFRS Convergence: The Role of Stochastic Mortality Models in the Disclosure of Longevity Risk for Defined Benefit Plans," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 5(1), pages 1-27, March.
  89. Selin Özen & Şule Şahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Risks, MDPI, vol. 9(2), pages 1-19, February.
  90. Fadoua Zeddouk & Pierre Devolder, 2020. "Longevity Modelling and Pricing under a Dependent Multi-Cohort Framework," Risks, MDPI, vol. 8(4), pages 1-23, November.
  91. Bozikas, Apostolos & Pitselis, Georgios, 2020. "Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 353-368.
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  111. 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.
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  124. Börger, Matthias & Schupp, Johannes, 2018. "Modeling trend processes in parametric mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 369-380.
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