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A Bayesian approach to modelling and projecting cohort effects

Hunt, Andrew; Blake, David - 2015

Persistent link: https://www.econbiz.de/10011412903

Identifiability, cointegration and the gravity model

Hunt, Andrew; Blake, David - In: Insurance / Mathematics & economics 78 (2018), pp. 360-368

Persistent link: https://www.econbiz.de/10011825323

Identifiability, cointegration and the gravity model

Hunt, Andrew; Blake, David - 2015

Persistent link: https://www.econbiz.de/10011318347

Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing

Sherris, Michael - 2018

affine dynamic Nelson-Siegel model. A multi-cohort aggregate, or systematic, continuous time affine mortality model is used … where each risk factor is assigned a market price of mortality risk. To calibrate the market price of longevity risk, a … standard options on zero coupon bonds. The impact of uncertain mortality on long term option prices is quantified and discussed …

Persistent link: https://www.econbiz.de/10012927869

Robustness and convergence in the Lee-Carter model with cohort effects

Hunt, Andrew; Villegas, Andrés M. - In: Insurance / Mathematics & economics 64 (2015), pp. 186-202

Persistent link: https://www.econbiz.de/10011398002

Deterministic and stochastic trends in the Lee-Carter mortality model

Callot, Laurent; Haldrup, Niels; Kallestrup-Lamb, Malene - In: Applied economics letters 23 (2016) 7/9, pp. 486-493

Persistent link: https://www.econbiz.de/10011627706

An age-at-death distribution approach to forecast cohort mortality

Basellini, Ugofilippo; Kjærgaard, Søren; Camarda, … - In: Insurance / Mathematics & economics 91 (2020), pp. 129-143

Persistent link: https://www.econbiz.de/10012241997

Pitfalls and merits of cointegration-based mortality models

Jarner, Søren F.; Jallbjørn, Snorre - In: Insurance / Mathematics & economics 90 (2020), pp. 80-93

Persistent link: https://www.econbiz.de/10012169501

A unified approach to mortality modelling using state-space framework : characterisation, identification, estimation and forecasting

Fung, Man Chung; Peters, Gareth; Shevchenko, Pavel V. - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 343-389

Persistent link: https://www.econbiz.de/10011820669

The double-gap life expectancy forecasting model

Pascariu, Marius D.; Canudas-Romo, Vladimir; Vaupel, … - In: Insurance / Mathematics & economics 78 (2018), pp. 339-350

Persistent link: https://www.econbiz.de/10011825317

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