Advanced search
Publication Cover
Scandinavian Actuarial Journal Volume 2016, 2016 - Issue 4
Submit an article Journal homepage
1,489
Views
77
CrossRef citations to date
0
Altmetric
Articles

On fitting generalized linear and non-linear models of mortality

Iain D. CurrieDepartment of Actuarial Mathematics and Statistics, and the Maxwell Institute for Mathematical Sciences, Heriot-Watt University, Edinburgh, UK.Correspondence[email protected]
Pages 356-383 | Accepted 21 May 2014, Published online: 04 Jul 2014

Citations (77)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (15)

Andrés M. Villegas, Madhavi Bajekal, Steven Haberman & Luke Zhou. (2024) Key Drivers of Long-Term Rates of Mortality Improvements in the United States: Period, Cohort, and Cause of Death Analysis, 1959–2016. North American Actuarial Journal 28:1, pages 187-217.
Read now
Ken Seng Tan & Jinggong Zhang. (2024) Flexible Weather Index Insurance Design with Penalized Splines. North American Actuarial Journal 28:1, pages 1-26.
Read now
Mario Marino, Susanna Levantesi & Andrea Nigri. (2023) A Neural Approach to Improve the Lee-Carter Mortality Density Forecasts. North American Actuarial Journal 27:1, pages 148-165.
Read now
Salvatory R. Kessy, Michael Sherris, Andrés M. Villegas & Jonathan Ziveyi. (2022) Mortality forecasting using stacked regression ensembles. Scandinavian Actuarial Journal 2022:7, pages 591-626.
Read now
Oopashna Devi Fokeer & Jason Narsoo. (2022) Evaluation of the forecasting accuracy of stochastic mortality models: An analysis of developed and developing countries. Communications in Statistics: Case Studies, Data Analysis and Applications 8:3, pages 434-462.
Read now
Shafiqah Azman & Dharini Pathmanathan. (2022) The GLM framework of the Lee–Carter model: a multi-country study. Journal of Applied Statistics 49:3, pages 752-763.
Read now
Di Wang & Wai-Sum Chan. (2022) Backcasting Mortality in England and Wales, 1600–1840. North American Actuarial Journal 26:1, pages 102-122.
Read now
Andrew Hunt & David Blake. (2021) On the Structure and Classification of Mortality Models. North American Actuarial Journal 25:sup1, pages S215-S234.
Read now
David Blake, Richard MacMinn, Jason Chenghsien Tsai & Jennifer Wang. (2021) Longevity Risk and Capital Markets: The 2017–2018 Update. North American Actuarial Journal 25:sup1, pages S280-S308.
Read now
Miguel Santolino. (2020) The Lee-Carter quantile mortality model. Scandinavian Actuarial Journal 2020:7, pages 614-633.
Read now
Anthony Medford & James W. Vaupel. (2019) An introduction to gevistic regression mortality models. Scandinavian Actuarial Journal 2019:7, pages 604-620.
Read now
Giovanna Apicella, Michel Dacorogna, Emilia Di Lorenzo & Marilena Sibillo. (2019) Improving the Forecast of Longevity by Combining Models. North American Actuarial Journal 23:2, pages 298-319.
Read now
Palma Daawin, Seonjin Kim & Tatjana Miljkovic. (2019) Predictive Modeling of Obesity Prevalence for the U.S. Population. North American Actuarial Journal 23:1, pages 64-81.
Read now
Josep Lledó, Jose M. Pavía & Francisco G. Morillas. (2017) Assessing implicit hypotheses in life table construction. Scandinavian Actuarial Journal 2017:6, pages 495-518.
Read now
Francesca Perla, Ronald Richman, Salvatore Scognamiglio & Mario V. Wüthrich. Accurate and explainable mortality forecasting with the LocalGLMnet. Scandinavian Actuarial Journal 0:0, pages 1-23.
Read now

Articles from other publishers (62)

Yang Qiao, Chou-Wen Wang & Wenjun Zhu. (2024) Machine learning in long-term mortality forecasting. The Geneva Papers on Risk and Insurance - Issues and Practice.
Crossref
Jose Garrido, Yuxiang Shang & Ran Xu. (2024) LSTM-Based Coherent Mortality Forecasting for Developing Countries. Risks 12:2, pages 27.
Crossref
Malene Kallestrup-Lamb & Nicolai Søgaard Laursen. (2024) Longevity hedge effectiveness using socioeconomic indices. Insurance: Mathematics and Economics 114, pages 242-251.
Crossref
Jorge M. Bravo, Mercedes Ayuso, Robert Holzmann & Edward Palmer. (2023) Intergenerational actuarial fairness when longevity increases: Amending the retirement age. Insurance: Mathematics and Economics 113, pages 161-184.
Crossref
Miguel Santolino. (2023) Should Selection of the Optimum Stochastic Mortality Model Be Based on the Original or the Logarithmic Scale of the Mortality Rate?. Risks 11:10, pages 170.
Crossref
Aristides Moustakas, Panagiotis Georgiakakis, Elzbieta Kret & Eleftherios Kapsalis. (2023) Wind turbine power and land cover effects on cumulative bat deaths. Science of The Total Environment 892, pages 164536.
Crossref
Mohammad Shiri, Oleksii Dubovyk, Golbarg Roghaniaraghi & Sampath Jayarathna. (2023) Meme it Up: Patterns of Emoji Usage on Twitter. Meme it Up: Patterns of Emoji Usage on Twitter.
Salvatore Scognamiglio & Mario Marino. (2022) Backtesting stochastic mortality models by prediction interval-based metrics. Quality & Quantity 57:4, pages 3825-3847.
Crossref
Ugofilippo Basellini, Carlo Giovanni Camarda & Heather Booth. (2023) Thirty years on: A review of the Lee–Carter method for forecasting mortality. International Journal of Forecasting 39:3, pages 1033-1049.
Crossref
Karim Barigou, Pierre-Olivier Goffard, Stéphane Loisel & Yahia Salhi. (2023) Bayesian model averaging for mortality forecasting using leave-future-out validation. International Journal of Forecasting 39:2, pages 674-690.
Crossref
Samuel Asante Gyamerah, Janet Arthur, Saviour Worlanyo Akuamoah & Yethu Sithole. (2023) Measurement and Impact of Longevity Risk in Portfolios of Pension Annuity: The Case in Sub Saharan Africa. FinTech 2:1, pages 48-67.
Crossref
Dimitrina S. Dimitrova, Vladimir K. Kaishev, Andrea Lattuada & Richard J. Verrall. (2023) Geometrically designed variable knot splines in generalized (non-)linear models. Applied Mathematics and Computation 436, pages 127493.
Crossref
Viani B. Djeundje, Steven Haberman, Madhavi Bajekal & Joseph Lu. (2022) The slowdown in mortality improvement rates 2011–2017: a multi-country analysis. European Actuarial Journal 12:2, pages 839-878.
Crossref
Hyunoo Shim, Siok Kim & Yang Ho Choi. (2022) Sustainability of pensions in Asian countries. Communications for Statistical Applications and Methods 29:6, pages 679-694.
Crossref
Aliki Sagianou & Peter Hatzopoulos. (2022) Extensions on the Hatzopoulos–Sagianou Multiple-Components Stochastic Mortality Model. Risks 10:7, pages 131.
Crossref
Dilan SriDaran, Michael Sherris, Andrés M. Villegas & Jonathan Ziveyi. (2021) A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS. ASTIN Bulletin 52:1, pages 247-289.
Crossref
Nurul Aityqah Yaacob, Jamil J. Jaber, Dharini Pathmanathan, Sadam Alwadi & Ibrahim Mohamed. (2021) Hybrid of the Lee-Carter Model with Maximum Overlap Discrete Wavelet Transform Filters in Forecasting Mortality Rates. Mathematics 9:18, pages 2295.
Crossref
Robiaatul Adawiah Edrus, Zailan Siri, Mohd Azmi Haron & Muhammad Aslam Mohd Safari. (2021) Model fitting for Malaysian mortality rate: Comparison of Heligman-Pollard and P-splines smoothing. Journal of Physics: Conference Series 1988:1, pages 012094.
Crossref
Ronald Richman. (2020) AI in actuarial science – a review of recent advances – part 2. Annals of Actuarial Science 15:2, pages 230-258.
Crossref
Ronald Richman. (2020) AI in actuarial science – a review of recent advances – part 1. Annals of Actuarial Science 15:2, pages 207-229.
Crossref
Ronald Richman & Mario V. Wüthrich. (2019) A neural network extension of the Lee–Carter model to multiple populations. Annals of Actuarial Science 15:2, pages 346-366.
Crossref
David Blake & Andrew J.G. Cairns. (2021) Longevity risk and capital markets: The 2019-20 update. Insurance: Mathematics and Economics 99, pages 395-439.
Crossref
Jorge M. Bravo, Mercedes Ayuso, Robert Holzmann & Edward Palmer. (2021) Addressing the life expectancy gap in pension policy. Insurance: Mathematics and Economics 99, pages 200-221.
Crossref
Mercedes Ayuso, Jorge M. Bravo & Robert Holzmann. (2020) Getting life expectancy estimates right for pension policy: period versus cohort approach. Journal of Pension Economics and Finance 20:2, pages 212-231.
Crossref
Ana Debón, Steven Haberman, Francisco Montes & Edoardo Otranto. (2021) Do Different Models Induce Changes in Mortality Indicators? That Is a Key Question for Extending the Lee-Carter Model. International Journal of Environmental Research and Public Health 18:4, pages 2204.
Crossref
Tatjana Miljkovic & Xin Wang. (2020) Identifying subgroups of age and cohort effects in obesity prevalence. Biometrical Journal 63:1, pages 168-186.
Crossref
Karim Barigou, Stéphane Loisel & Yahia Salhi. (2020) Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect. Risks 9:1, pages 5.
Crossref
David Atance, Alejandro Balbás & Eliseo Navarro. (2020) Constructing dynamic life tables with a single-factor model. Decisions in Economics and Finance 43:2, pages 787-825.
Crossref
David Blake & Andrew J. G. Cairns. (2020) Longevity risk and capital markets: the 2018–19 update. Annals of Actuarial Science 14:2, pages 219-261.
Crossref
Iain D. Currie. (2020) Constraints, the identifiability problem and the forecasting of mortality. Annals of Actuarial Science 14:2, pages 537-566.
Crossref
Akib Mashrur, Wei Luo, Nayyar A. Zaidi & Antonio Robles-Kelly. (2020) Machine Learning for Financial Risk Management: A Survey. IEEE Access 8, pages 203203-203223.
Crossref
Søren F. Jarner & Snorre Jallbjørn. (2020) Pitfalls and merits of cointegration-based mortality models. Insurance: Mathematics and Economics 90, pages 80-93.
Crossref
Heather Booth. 2020. Developments in Demographic Forecasting. Developments in Demographic Forecasting 153 178 .
Carlo Giovanni Camarda. (2019) Smooth constrained mortality forecasting. Demographic Research 41, pages 1091-1130.
Crossref
Rokas Gylys & Jonas Šiaulys. (2019) Revisiting Calibration of the Solvency II Standard Formula for Mortality Risk: Does the Standard Stress Scenario Provide an Adequate Approximation of Value-at-Risk?. Risks 7:2, pages 58.
Crossref
Man Chung Fung, Gareth W. Peters & Pavel V. Shevchenko. (2018) Cohort effects in mortality modelling: a Bayesian state-space approach. Annals of Actuarial Science 13:1, pages 109-144.
Crossref
D. Blake, A. J. G. Cairns, K. Dowd & A. R. Kessler. (2019) Still living with mortality: the longevity risk transfer market after one decade. British Actuarial Journal 24.
Crossref
S. J. Richards, I. D. Currie, T. Kleinow & G. P. Ritchie. (2019) A stochastic implementation of the APCI model for mortality projections. British Actuarial Journal 24.
Crossref
Michel Denuit, Donatien Hainaut & Julien TrufinMichel Denuit, Donatien Hainaut & Julien Trufin. 2019. Effective Statistical Learning Methods for Actuaries III. Effective Statistical Learning Methods for Actuaries III 83 109 .
Mike Ludkovski, Jimmy Risk & Howard Zail. (2018) GAUSSIAN PROCESS MODELS FOR MORTALITY RATES AND IMPROVEMENT FACTORS. ASTIN Bulletin 48:3, pages 1307-1347.
Crossref
Yahia Salhi & Pierre-E. Thérond. (2018) AGE-SPECIFIC ADJUSTMENT OF GRADUATED MORTALITY. ASTIN Bulletin 48:02, pages 543-569.
Crossref
Apostolos Bozikas & Georgios Pitselis. (2018) An Empirical Study on Stochastic Mortality Modelling under the Age-Period-Cohort Framework: The Case of Greece with Applications to Insurance Pricing. Risks 6:2, pages 44.
Crossref
David Blake, Nicole El Karoui, Stéphane Loisel & Richard MacMinn. (2018) Longevity risk and capital markets: The 2015–16 update. Insurance: Mathematics and Economics 78, pages 157-173.
Crossref
M.F. Carfora, L. Cutillo & A. Orlando. (2017) A quantitative comparison of stochastic mortality models on Italian population data. Computational Statistics & Data Analysis 112, pages 198-214.
Crossref
A. Debón, L. Chaves, S. Haberman & F. Villa. (2017) Characterization of between-group inequality of longevity in European Union countries. Insurance: Mathematics and Economics 75, pages 151-165.
Crossref
Eric Beutner, Simon Reese & Jean-Pierre Urbain. (2017) Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type. Insurance: Mathematics and Economics 75, pages 117-125.
Crossref
Liang Chen, Andrew J. G. Cairns & Torsten Kleinow. (2017) Small population bias and sampling effects in stochastic mortality modelling. European Actuarial Journal 7:1, pages 193-230.
Crossref
Erzsébet Kovács & Péter Vékás. 2017. The Palgrave Handbook of Unconventional Risk Transfer. The Palgrave Handbook of Unconventional Risk Transfer 269 297 .
Bowen Yang, Jackie Li & Uditha Balasooriya. (2014) Cohort extensions of the Poisson common factor model for modelling both genders jointly. Scandinavian Actuarial Journal 2016:2, pages 93-112.
Crossref
Jorge Miguel Bravo, Mercedes Ayuso, Robert Holzmann & Edward Palmer. (2021) Intergenerational Actuarial Fairness When Longevity Increases: Amending the Retirement Age. SSRN Electronic Journal.
Crossref
Salvatory KESSY, Michael Sherris, Andrés Villegas & Jonathan Ziveyi. (2021) Mortality Forecasting Using Stacked Regression Ensembles. SSRN Electronic Journal.
Crossref
Ronald Richman & Mario V. Wuthrich. (2018) A Neural Network Extension of the Lee-Carter Model to Multiple Populations. SSRN Electronic Journal.
Crossref
Ronald Richman. (2018) AI in Actuarial Science. SSRN Electronic Journal.
Crossref
Man Chung Fung, Gareth Peters & Pavel V. Shevchenko. (2018) Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach. SSRN Electronic Journal.
Crossref
Giovanna Apicella, Michel M. Dacorogna, Emilia Di Lorenzo & Marilena Sibillo. (2017) Using Interest Rate Models to Improve Mortality Forecast. SSRN Electronic Journal.
Crossref
David P. Blake, Nicole El Karoui, Richard D. MacMinn & Sttphane Loisel. (2017) Longevity Risk and Capital Markets: The 2015-16 Update. SSRN Electronic Journal.
Crossref
Man Chung Fung, Gareth William Peters & Pavel V. Shevchenko. (2017) Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach. SSRN Electronic Journal.
Crossref
Ermanno Pitacco. (2016) Assessing Longevity Risk in a Portfolio of Life Annuities. SSRN Electronic Journal.
Crossref
Michael Ludkovski, James Risk & Howard Zail. (2016) Gaussian Process Models for Mortality Rates and Improvement Factors. SSRN Electronic Journal.
Crossref
Ken Seng Tan. (2015) Longevity Risk and Capital Markets: The 2013-14 Update. SSRN Electronic Journal.
Crossref
Andrrs Villegas, Vladimir K. Kaishev & Pietro Millossovich. (2015) StMoMo: An R Package for Stochastic Mortality Modelling. SSRN Electronic Journal.
Crossref
Ken Seng Tan, David P. Blake & Richard D. MacMinn. (2015) Longevity Risk and Capital Markets: The 2013-14 Update.. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.