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Estimating the term structure of mortality. (2008). Nijman, Theo ; Melenberg, Bertrand ; De Waegenaere, Anja ; Hari, Norbert.
In: Insurance: Mathematics and Economics.
RePEc:eee:insuma:v:42:y:2008:i:2:p:492-504.

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Cited: 16

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Cites: 16

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Cocites: 50

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  1. Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439.

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  2. Longevity risk and capital markets: The 2015–16 update. (2018). Blake, David ; MacMinn, Richard ; Loisel, Stephane ; el Karoui, Nicole.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173.

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  3. Is mortality spatial or social?. (2014). Li, Youwei ; O'Hare, Colin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:42:y:2014:i:c:p:198-207.

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  4. On the mortality/longevity risk hedging with mortality immunization. (2013). Tsai, Cary Chi-Liang ; Lin, Tzuling .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:3:p:580-596.

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  5. The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment. (2013). Broer, Peter.
    In: CPB Discussion Paper.
    RePEc:cpb:discus:241.rdf.

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  6. The New Life Market. (2013). Blake, David ; Cairns, Andrew ; MacMinn, Richard ; Dowd, Kevin ; Coughlan, Guy .
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:80:y:2013:i:3:p:501-558.

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  7. Explaining young mortality. (2012). Li, Youwei ; Ohare, Colin.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:50:y:2012:i:1:p:12-25.

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  8. Stochastic mortality, macroeconomic risks, and life insurer solvency. (2011). Post, Thomas ; Hanewald, Katja ; Gründl, Helmut ; Grundl, Helmut.
    In: ICIR Working Paper Series.
    RePEc:zbw:icirwp:0111.

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  9. Longevity risk and capital markets: The 2009-2010 update. (2011). Blake, David ; Cox, Samuel ; MacMinn, Richard ; Brockett, Patrick.
    In: MPRA Paper.
    RePEc:pra:mprapa:28868.

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  10. Longevity Risk. (2010). De Waegenaere, Anja.
    In: De Economist.
    RePEc:kap:decono:v:158:y:2010:i:2:p:151-192.

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  11. Mortality risk modeling: Applications to insurance securitization. (2010). Pedersen, Hal ; Lin, Yijia ; Cox, Samuel H..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:1:p:242-253.

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  12. A multivariate time series approach to projected life tables. (2009). Denuit, Michel M ; Lazar, Dorina.
    In: Applied Stochastic Models in Business and Industry.
    RePEc:wly:apsmbi:v:25:y:2009:i:6:p:806-823.

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  13. Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency. (2009). Post, Thomas ; Hanewald, Katja ; Gründl, Helmut ; Grundl, Helmut.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2009-015.

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  14. Mortality modeling: Lee-Carter and the macroeconomy. (2009). Hanewald, Katja.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2009-008.

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References

References cited by this document

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  8. Girosi, F., King, G., 2005. A reassessment of the Lee–Carter mortality forecasting method, Working Paper, Harvard University
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  9. Hamilton, J.D. Time Series Analysis. 1994 Princeton University Press: Princeton, NJ
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  11. Lee, R.D. The Lee–Carter method for forecasting mortality, with various extensions and applications. 2000 North American Actuarial Journal. 4 80-93

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  15. Renshaw, A.E. ; Haberman, S. On the forecasting of mortality reduction factors. 2003 Insurance: Mathematics and Economics. 32 379-401

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Cocites

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  1. A stochastic forward-looking model to assess the profitability and solvency of European insurers. (2016). Pancaro, Cosimo ; Kok, Christoffer ; Sorensen, Christoffer Kok ; Berdin, Elia.
    In: SAFE Working Paper Series.
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  2. A stochastic forward-looking model to assess the profitability and solvency of European insurers. (2016). Pancaro, Cosimo ; Kok, Christoffer ; Berdin, Elia ; Sorensen, Christoffer Kok .
    In: ICIR Working Paper Series.
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  3. Robustness and convergence in the Lee–Carter model with cohort effects. (2015). Hunt, Andrew ; Villegas, Andres M.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:64:y:2015:i:c:p:186-202.

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  4. The forecasting performance of mortality models. (2013). Hansen, Hendrik .
    In: AStA Advances in Statistical Analysis.
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  5. Development of Life Expectancy in the Czech Republic in Years 1920-2010 with an Outlook to 2050. (2013). Langhamrova, Jana ; Arltova, Marketa.
    In: Prague Economic Papers.
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  6. Modelling and projecting mortality improvement rates using a cohort perspective. (2013). Renshaw, Arthur ; Haberman, Steven.
    In: Insurance: Mathematics and Economics.
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  7. Mortality surface by means of continuous time cohort models. (2013). luciano, elisa ; Vigna, Elena ; Jevti, Petar .
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  8. Mortality Surface by Means of Continuous Time Cohort Models. (2013). luciano, elisa ; Vigna, Elena ; Jevtic, Petar .
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  9. Analyzing surplus appropriation schemes in participating life insurance from the insurer’s and the policyholder’s perspective. (2012). Bohnert, Alexander ; Gatzert, Nadine.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:50:y:2012:i:1:p:64-78.

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  10. Model effect on projected mortality indicators. (2012). Debon, A. ; Haberman, S. ; Montes, F. ; Otranto, Edoardo.
    In: Working Paper CRENoS.
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  11. Prospective Lifetables: Life Insurance Pricing and Hedging in a Stochastic Mortality Environment. (2012). Bravo, Jorge ; da Silva, Carlos Pereira .
    In: CEFAGE-UE Working Papers.
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  12. Longevity hedge effectiveness: a decomposition. (2011). Blake, David ; Cairns, Andrew ; Dowd, Kevin ; Coughlan, Guy .
    In: MPRA Paper.
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  13. Longevity risk and capital markets: The 2009-2010 update. (2011). Blake, David ; Cox, Samuel ; MacMinn, Richard ; Brockett, Patrick.
    In: MPRA Paper.
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  14. A dynamic parameterization modeling for the age-period-cohort mortality. (2011). Hatzopoulos, P. ; Haberman, S..
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  15. Calibrating affine stochastic mortality models using term assurance premiums. (2011). Fabozzi, Frank ; Russo, Vincenzo ; Rachev, Svetlozar ; Ortobelli, Sergio ; Giacometti, Rosella.
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  16. Mortality density forecasts: An analysis of six stochastic mortality models. (2011). Blake, David ; Cairns, Andrew J. G., ; Khalaf-Allah, Marwa ; Dowd, Kevin ; Coughlan, Guy D. ; Epstein, David.
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  17. Pricing Longevity Bonds Using Affine-Jump Diffusion Models. (2011). Bravo, Jorge.
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  18. Longevity Risk. (2010). De Waegenaere, Anja.
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  19. Evaluating the goodness of fit of stochastic mortality models. (2010). Blake, David ; Cairns, Andrew J. G., ; Khalaf-Allah, Marwa ; Dowd, Kevin ; Coughlan, Guy D. ; Epstein, David.
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  20. Pricing longevity risk with the parametric bootstrap: A maximum entropy approach. (2010). Li, Johnny Siu-Hang.
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  21. A linear algebraic method for pricing temporary life annuities and insurance policies. (2010). Wang, I. C. ; Mamon, R. ; Date, P. ; Jalen, L..
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  40. Estimating the term structure of mortality. (2008). Nijman, Theo ; Melenberg, Bertrand ; De Waegenaere, Anja ; Hari, Norbert.
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  48. Non mean reverting affne processes for stochastic mortality. (2006). luciano, elisa ; Vigna, Elena.
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  49. Bayesian Poisson log-bilinear mortality projections. (2005). Delwarde, Antoine ; Denuit, Michel ; Czado, Claudia.
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  50. Survival models in a dynamic context: a survey. (2004). Pitacco, Ermanno .
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