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North American Actuarial Journal Volume 18, 2014 - Issue 1: Longevity Risk and Capital Markets
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Feature Articles

A General Procedure for Constructing Mortality Models

Andrew Hunt Cass Business School, City University London, London, United Kingdom
&
David Blake Pensions Institute, Cass Business School, City University London, London, United Kingdom
Pages 116-138 | Published online: 10 Feb 2014

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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.
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Gary Venter & Şule Şahin. (2022) Semiparametric Regression for Dual Population Mortality. North American Actuarial Journal 26:3, pages 403-427.
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Sergio Alvares Maffra, John Armstrong & Teemu Pennanen. (2021) Stochastic modeling of assets and liabilities with mortality risk. Scandinavian Actuarial Journal 2021:8, pages 695-725.
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Yanxin Liu & Johnny Siu-Hang Li. (2021) An Efficient Method for Mitigating Longevity Value-at-Risk. North American Actuarial Journal 25:sup1, pages S309-S340.
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Andrew Hunt & David Blake. (2021) Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies. North American Actuarial Journal 25:sup1, pages S508-S533.
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Andrew Hunt & David Blake. (2021) Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing. North American Actuarial Journal 25:sup1, pages S482-S507.
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Andrew Hunt & David Blake. (2021) A Bayesian Approach to Modeling and Projecting Cohort Effects. North American Actuarial Journal 25:sup1, pages S235-S254.
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Andrew Hunt & David Blake. (2021) On the Structure and Classification of Mortality Models. North American Actuarial Journal 25:sup1, pages S215-S234.
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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.
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Anthony Medford & James W. Vaupel. (2019) An introduction to gevistic regression mortality models. Scandinavian Actuarial Journal 2019:7, pages 604-620.
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Mauro Rubini, Paola Zaio, Mark Spigelman & Helen D. Donoghue. (2017) Leprosy in a Lombard-Avar cemetery in central Italy (Campochiaro, Molise, 6th–8th century AD): ancient DNA evidence and demography. Annals of Human Biology 44:6, pages 510-521.
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Articles from other publishers (52)

Salvatore Scognamiglio & Mario Marino. (2022) Backtesting stochastic mortality models by prediction interval-based metrics. Quality & Quantity 57:4, pages 3825-3847.
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Jorge M. Bravo & Jose A. Herce. (2020) Career breaks, broken pensions? Long-run effects of early and late-career unemployment spells on pension entitlements. Journal of Pension Economics and Finance 21:2, pages 191-217.
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Ufuk Beyaztas & Hanlin Shang. (2022) Machine-Learning-Based Functional Time Series Forecasting: Application to Age-Specific Mortality Rates. Forecasting 4:1, pages 394-408.
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Kevin Dowd & David Blake. (2022) Projecting Mortality Rates to Extreme Old Age with the CBDX Model. Forecasting 4:1, pages 208-218.
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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.
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Gary Venter. 2022. Pandemics: Insurance and Social Protection. Pandemics: Insurance and Social Protection 75 94 .
David Blake & Andrew J.G. Cairns. (2021) Longevity risk and capital markets: The 2019-20 update. Insurance: Mathematics and Economics 99, pages 395-439.
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Cristian Redondo Lourés & Andrew J.G. Cairns. (2021) Cause of death specific cohort effects in U.S. mortality. Insurance: Mathematics and Economics 99, pages 190-199.
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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.
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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.
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Ka Kin Lam & Bo Wang. (2021) Robust Non-Parametric Mortality and Fertility Modelling and Forecasting: Gaussian Process Regression Approaches. Forecasting 3:1, pages 207-227.
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Le Chang & Yanlin Shi. (2020) MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL. ASTIN Bulletin 51:1, pages 161-189.
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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.
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David Atance, Ana Debón & Eliseo Navarro. (2020) A Comparison of Forecasting Mortality Models Using Resampling Methods. Mathematics 8:9, pages 1550.
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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.
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Kevin Dowd, Andrew J. G. Cairns & David Blake. (2020) CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family. Annals of Actuarial Science 14:2, pages 445-460.
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Andrew Hunt & David Blake. (2020) Identifiability in age/period/cohort mortality models. Annals of Actuarial Science 14:2, pages 500-536.
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Andrew Hunt & David Blake. (2020) Identifiability in age/period mortality models. Annals of Actuarial Science 14:2, pages 461-499.
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Lihui Jiang, Mingqing Zhao & Junqing Zheng. (2019) Analysis of Influencing Factors of Population Mortality in China Based on Semiparametric Generalized Additive Model. Analysis of Influencing Factors of Population Mortality in China Based on Semiparametric Generalized Additive Model.
Quentin Guibert, Olivier Lopez & Pierrick Piette. (2019) Forecasting mortality rate improvements with a high-dimensional VAR. Insurance: Mathematics and Economics 88, pages 255-272.
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Gary Venter. (2019) Regularized Regression for Reserving and Mortality Models. Asia-Pacific Journal of Risk and Insurance 13:2.
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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.
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Michel Denuit, Donatien Hainaut & Julien TrufinMichel Denuit, Donatien Hainaut & Julien Trufin. 2019. Effective Statistical Learning Methods for Actuaries I. Effective Statistical Learning Methods for Actuaries I 363 400 .
Han Lin Shang & Steven Haberman. (2018) Model confidence sets and forecast combination: an application to age-specific mortality. Genus 74:1.
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Mike Ludkovski, Jimmy Risk & Howard Zail. (2018) GAUSSIAN PROCESS MODELS FOR MORTALITY RATES AND IMPROVEMENT FACTORS. ASTIN Bulletin 48:3, pages 1307-1347.
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Gary Venter & Şule Şahın. (2017) PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE. ASTIN Bulletin 48:1, pages 89-110.
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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.
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Matthias Börger & Johannes Schupp. (2018) Modeling trend processes in parametric mortality models. Insurance: Mathematics and Economics 78, pages 369-380.
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P. Doukhan, D. Pommeret, J. Rynkiewicz & Y. Salhi. (2017) A class of random field memory models for mortality forecasting. Insurance: Mathematics and Economics 77, pages 97-110.
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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.
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Andrew Hunt & David Blake. (2017) MODELLING MORTALITY FOR PENSION SCHEMES. ASTIN Bulletin 47:2, pages 601-629.
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Richard D. MacMinn & Nan Zhu. (2017) Hedging Longevity Risk in Life Settlements Using Biomedical Research-Backed Obligations. Journal of Risk and Insurance 84:S1, pages 439-458.
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Erzsébet Kovács & Péter Vékás. 2017. The Palgrave Handbook of Unconventional Risk Transfer. The Palgrave Handbook of Unconventional Risk Transfer 269 297 .
Chong It Tan, Jackie Li, Johnny Siu-Hang Li & Uditha Balasooriya. (2016) Stochastic modelling of the hybrid survival curve. Journal of Population Research 33:4, pages 307-331.
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Edo Schinzinger, Michel M. Denuit & Marcus C. Christiansen. (2016) A multivariate evolutionary credibility model for mortality improvement rates. Insurance: Mathematics and Economics 69, pages 70-81.
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Samuel Gbari & Michel Denuit. (2016) Stochastic approximations in CBD mortality projection models. Journal of Computational and Applied Mathematics 296, pages 102-115.
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Chon Sern Tan & Ah Hin Pooi. Prediction of mortality rates using a model with stochastic parameters. Prediction of mortality rates using a model with stochastic parameters.
Johnny Siu-Hang Li, Rui Zhou & Mary Hardy. (2015) A step-by-step guide to building two-population stochastic mortality models. Insurance: Mathematics and Economics 63, pages 121-134.
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Andrew Hunt & David Blake. (2015) Modelling longevity bonds: Analysing the Swiss Re Kortis bond. Insurance: Mathematics and Economics 63, pages 12-29.
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Ken Seng Tan, David Blake & Richard MacMinn. (2015) Longevity risk and capital markets: The 2013–14 update. Insurance: Mathematics and Economics 63, pages 1-11.
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Chon Sern Tan & Ah Hin Pooi. Prediction of mortality rates in the presence of missing values. Prediction of mortality rates in the presence of missing values.
Gary Venter. (2018) Modeling Mortality of Related Populations via Parameter Shrinkage. SSRN Electronic Journal.
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Gary Venter. (2018) Regularized Regression for Reserving and Mortality Models. SSRN Electronic Journal.
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Gary Venter. (2018) Regularized Age-Period-Cohort Modeling of Opioid Mortality Rates. SSRN Electronic Journal.
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Gary Venter. (2018) Parameter Shrinkage for Age-Period-Cohort Modeling of Opioid Mortality Rates. SSRN Electronic Journal.
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David P. Blake, Nicole El Karoui, Richard D. MacMinn & Sttphane Loisel. (2017) Longevity Risk and Capital Markets: The 2015-16 Update. SSRN Electronic Journal.
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Gary Venter. (2017) Parameter Shrinkage for Joint Age-Period-Cohort Modeling of Related Datasets. SSRN Electronic Journal.
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Gary Venter. (2017) Generational Cohort Effects on Trends in the Drug Overdose Mortality Epidemic in the United States. SSRN Electronic Journal.
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Michael Ludkovski, James Risk & Howard Zail. (2016) Gaussian Process Models for Mortality Rates and Improvement Factors. SSRN Electronic Journal.
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Ken Seng Tan. (2015) Longevity Risk and Capital Markets: The 2013-14 Update. SSRN Electronic Journal.
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Andrrs Villegas, Vladimir K. Kaishev & Pietro Millossovich. (2015) StMoMo: An R Package for Stochastic Mortality Modelling. SSRN Electronic Journal.
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Ken Seng Tan, David P. Blake & Richard D. MacMinn. (2015) Longevity Risk and Capital Markets: The 2013-14 Update.. SSRN Electronic Journal.
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