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Original Articles

The Lee-Carter Model for Forecasting Mortality, Revisited

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Pages 68-89 | Published online: 08 Jan 2013

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Read on this site (5)

Di Wang & Wai-Sum Chan. (2022) Backcasting Mortality in England and Wales, 1600–1840. North American Actuarial Journal 26:1, pages 102-122.
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Chou-Wen Wang, Hong-Chih Huang & Yung-Tsung Lee. (2016) On the valuation of reverse mortgage insurance. Scandinavian Actuarial Journal 2016:4, pages 293-318.
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Wai-Sum Chan, Johnny Siu-Hang Li & Jackie Li. (2014) The CBD Mortality Indexes: Modeling and Applications. North American Actuarial Journal 18:1, pages 38-58.
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Johnny Siu-Hang Li, Wai-Sum Chan & Siu-Hung Cheung. (2011) Structural Changes in the Lee-Carter Mortality Indexes. North American Actuarial Journal 15:1, pages 13-31.
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Johnny Siu-Hang Li, Mary Hardy & Ken Seng Tan. (2010) Developing Mortality Improvement Formulas. North American Actuarial Journal 14:4, pages 381-399.
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Articles from other publishers (24)

Johnny Siu-Hang Li & Joseph H.T. Kim. (2023) Rotation in age patterns of mortality decline: statistical evidence and modeling. Probability in the Engineering and Informational Sciences, pages 1-32.
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Simon Schnürch, Torsten Kleinow, Ralf Korn & Andreas Wagner. (2022) The impact of mortality shocks on modelling and insurance valuation as exemplified by COVID-19. Annals of Actuarial Science, pages 1-29.
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Cem Yavrum & A. Sevtap Selcuk-Kestel. 2022. Advances in Econometrics, Operational Research, Data Science and Actuarial Studies. Advances in Econometrics, Operational Research, Data Science and Actuarial Studies 495 513 .
J. A. Tenreiro Machado & António M. Lopes. (2021) Entropy analysis of human death uncertainty. Nonlinear Dynamics 104:4, pages 3897-3911.
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Wei Hong Hong, Jia Hui Yap, Ganeshsree Selvachandran, Pham Huy Thong & Le Hoang Son. (2020) Forecasting mortality rates using hybrid Lee–Carter model, artificial neural network and random forest. Complex & Intelligent Systems 7:1, pages 163-189.
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Jackie Li & Jia Liu. (2020) A modified extreme value perspective on best-performance life expectancy. Journal of Population Research 37:4, pages 345-375.
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Selin Özen & Şule Şahin. (2020) Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds. Journal of Computational and Applied Mathematics 376, pages 112829.
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F. Peters, J. P. Mackenbach & W. J. Nusselder. (2016) Does the Impact of the Tobacco Epidemic Explain Structural Changes in the Decline of Mortality?. European Journal of Population 32:5, pages 687-702.
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Zihe Wang & Johnny Siu-Hang Li. (2016) A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds. Finance Research Letters 16, pages 103-111.
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Yanxin Liu & Johnny Siu-Hang Li. (2015) The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds. Insurance: Mathematics and Economics 64, pages 135-150.
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Rui Zhou, Johnny Siu-Hang Li & Ken Seng Tan. (2015) Economic Pricing of Mortality-Linked Securities: A Tâtonnement Approach. Journal of Risk and Insurance 82:1, pages 65-96.
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M. Martin Boyer, Joanna Mejza & Lars Stentoft. (2014) Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan. Risk Management and Insurance Review 17:1, pages 37-59.
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Rui Zhou, Johnny Siu‐Hang Li & Ken Seng Tan. (2013) Pricing Standardized Mortality Securitizations: A Two‐Population Model With Transitory Jump Effects. Journal of Risk and Insurance 80:3, pages 733-774.
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Chou‐Wen Wang, Hong‐Chih Huang & I‐Chien Liu. (2013) Mortality Modeling With Non‐Gaussian Innovations and Applications to the Valuation of Longevity Swaps. Journal of Risk and Insurance 80:3, pages 775-798.
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Sharon S. Yang & Chou-Wen Wang. (2013) Pricing and securitization of multi-country longevity risk with mortality dependence. Insurance: Mathematics and Economics 52:2, pages 157-169.
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M. Martin Boyer & Lars Stentoft. (2013) If we can simulate it, we can insure it: An application to longevity risk management. Insurance: Mathematics and Economics 52:1, pages 35-45.
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Yinglu Deng, Patrick L. Brockett & Richard D. MacMinn. (2012) Longevity/Mortality Risk Modeling and Securities Pricing . Journal of Risk and Insurance 79:3, pages 697-721.
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Chou-Wen Wang, Hong-Chih Huang & I-Chien Liu. (2011) A Quantitative Comparison of the Lee-Carter Model under Different Types of Non-Gaussian Innovations. The Geneva Papers on Risk and Insurance - Issues and Practice 36:4, pages 675-696.
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Edviges Coelho & Luis C. Nunes. (2011) Forecasting Mortality in the Event of a Structural Change. Journal of the Royal Statistical Society Series A: Statistics in Society 174:3, pages 713-736.
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Hua Chen & Samuel H. Cox. (2009) Modeling Mortality With Jumps: Applications to Mortality Securitization. Journal of Risk and Insurance 76:3, pages 727-751.
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Simon Schnürch, Torsten Kleinow & Andreas Wagner. (2021) Accounting for COVID-19-Type Shocks in Mortality Modeling: A Comparative Study. SSRN Electronic Journal.
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Simon Schnürch, Torsten Kleinow, Ralf Korn & Andreas Wagner. (2021) The Impact of Mortality Shocks on Modeling and Insurance Valuation as Exemplified by COVID-19. SSRN Electronic Journal.
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M. Martin Boyer & Lars Stentoft. (2012) If We Can Simulate it, We Can Insure it: An Application to Longevity Risk Management. SSRN Electronic Journal.
Crossref
Patrick L. Brockett, Richard D. MacMinn & Yinglu Deng. (2010) Longevity/Mortality Risk Modeling and Securities Pricing. SSRN Electronic Journal.
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