Tan, Chong It; Li, Jackie; Li, Johnny Siu-Hang; … - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 285-299
In this paper, we investigate the construction of mortality indexes using the time-varying parameters in common stochastic mortality models. We first study how existing models can be adapted to satisfy the new-data-invariant property, a property that is required to ensure the resulting mortality...