Related papers: Probabilistic Mortality Forecasting with Varying A…

Separate modelling of cause specific mortality rates and their projections can yield inconsistent forecasts when the sum of deaths by cause does not match the total observed in a population. We develop a hierarchical probabilistic framework…

Existing mortality forecasting methods focus on age-specific mortality rates, which lie in an unconstrained space and overlook the distributional nature of life-table death counts. Few studies have developed and compared forecasting methods…

Although traditional literature on mortality modeling has focused on single countries in isolation, recent contributions have progressively moved toward joint models for multiple countries. Besides favoring borrowing of information to…

In this paper, we provide a comprehensive cross-country validation study of compositional mortality modeling and forecasting methods. Thus, we consider two one-to-one transformations: the cumulative distribution function and the centered…

Reliable mortality estimates at the subnational level are essential in the study of health inequalities within a country. One of the difficulties in producing such estimates is the presence of small populations, where the stochastic…

Many existing mortality models follow the framework of classical factor models, such as the Lee-Carter model and its variants. Latent common factors in factor models are defined as time-related mortality indices (such as $\kappa_t$ in the…

Mortality forecasting plays a pivotal role in insurance and financial risk management of life insurers, pension funds, and social securities. Mortality data is usually high-dimensional in nature and favors factor model approaches to…

In recent years, improvements in all-cause mortality rates and life expectancies for males and females in England and Wales have slowed down. In this paper, cause-specific mortality data for England and Wales from 2001 to 2018 are used to…

Human mortality patterns and trajectories in closely related populations are likely linked together and share similarities. It is always desirable to model them simultaneously while taking their heterogeneity into account. This paper…

This paper presents an approach to incorporate mortality shocks into mortality projections produced by a stochastic multi-population mortality model. The proposed model combines a decreasing stochastic mortality trend with a…

The EU Solvency II directive recommends insurance companies to pay more attention to the risk management methods. The sense of risk management is the ability to quantify risk and apply methods that reduce uncertainty. In life insurance, the…

We study the dynamics of cause--specific mortality rates among countries by considering them as compositions of functions. We develop a novel framework for such data structure, with particular attention to functional PCA. The application of…

Worldwide, many millions of people die suddenly and unexpectedly each year, either with or without a prior history of cardiovascular disease. Such events are sparse (once in a lifetime), many victims will not have had prior investigations…

We consider a compositional data analysis approach to forecasting the age distribution of death counts. Using the age-specific period life-table death counts in Australia obtained from the Human Mortality Database, the compositional data…

The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic…

In this paper we explore the life expectancy limits by based on the stochastic modeling of mortality and applying the first exit or hitting time theory of a stochastic process. The main assumption is that the health state or the "vitality",…

When modeling sub-national mortality rates, it is important to incorporate any possible correlation among sub-populations to improve forecast accuracy. Moreover, forecasts at the sub-national level should aggregate consistently across the…

The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic…

A linear mixed-effects (LME) model is proposed for modelling and forecasting single and multi-population age-specific death rates (ASDRs). The innovative approach that we take in this study treats age, the interaction between gender and…

This paper extends Bayesian mortality projection models for multiple populations considering the stochastic structure and the effect of spatial autocorrelation among the observations. We explain high levels of overdispersion according to…