This paper extends the widely used Lee Carter (LC) model (Lee & Carter, 1992) for mortality projection. We suggest a random walk with drift to model the time parameter of the Bayesian extension of the LC model suggested in Czado et al. (2005). In a validation-based examination, the proposed...

A log-normal random walk with parameters that are functions of market stress naturally accounts for volatility clustering and fat-tailed return distributions. Fitting this model to a stock and a bond index we find no evidence of significant misspecification despite the fact that the model has no...