References
- Blake , D. , Dowd , K. and Cairns , A. J. G. 2008 . Longevity Risk and the Grim Reaper’s Toxic Tail: The Survivor Fan Charts . Insurance: Mathematics and Economics , 42 : 1062 – 1068 .
- Cairns , A. J. G. 2000 . A Discussion of Parameter and Model Uncertainty in Insurance . Insurance: Mathematics and Economics , 27 : 313 – 330 .
- Cairns , A. J. G. , Blake , D. and Dowd , K. 2006 . A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration . Journal of Risk and Insurance , 73 : 687 – 718 .
- Cairns , A. J. G. , Blake , D. , Dowd , K. , Coughlan , G. D. , Epstein , D. and Khalaf-Allah , M. 2010 . A Framework for ForecAsting Mortality Rates with an Application to Six Stochastic Mortality Models Pensions Institute Discussion Paper PI-0801.
- Cairns , A. J. G. , Blake , D. , Dowd , K. , Coughlan , G. D. , Epstein , D. , Ong , A. and BaleviCh , I. 2009 . A Quantitative Comparison of Stochastic Mortality Models Using Data from England & Wales and the United States . North American Actuarial Journal , 13 ( 1 ) : 1 – 35 .
- Continuous Mortality Investigation . 2006 . Stochastic Projection Methodologies: Further Progress and P-Spline Model Features, Example Results and Implications Working Paper 20.
- Continuous Mortality Investigation . 2007 . Stochastic Projection Methodologies: Lee-Carter Model Features, Example Results and Implications Working Paper 25.
- Coughlan, G., D. Epstein, A. Sinha, And P. Honig. 2007. q-Forwards: Derivatives for Transferring Longevity and Mortality Risks. Available at www.jpmorgan.com/lifemetrics (http://www.jpmorgan.com/lifemetrics)
- Currie , I. D. , Durban , M. and Eilers , P. H. C. 2004 . Smoothing and ForecAsting Mortality Rates . Statistical Modelling , 4 : 279 – 298 .
- Dowd , K. , Cairns , A. J. G. and Blake , D. 2006 . Mortality-Dependent Measures of Financial Risk . Insurance: Mathematics and Economics , 38 : 427 – 440 .
- Dowd , K. , Cairns , A. J. G. , Blake , D. , Coughlan , G. D. , Epstein , D. and Khalaf-Allah , M. 2010 . “ Evaluating the Goodness of Fit of Stochastic Mortality Models ” . In Forthcoming in Insurance: Mathematics and Economics Pensions Institute Discussion Paper PI-0802.
- EmbreChts , P. , Klüppelberg , C. and MikosCh , T. 1997 . Modelling Extreme Events for Insurance and Finance , Berlin : Springer .
- JaCobsen , R. N. , Keiding , N. and Lynge , E. 2002 . Long-Term Mortality Trends behind Low Life Expectancy of Danish Women . Journal of Epidemiology and Community Health , 56 : 205 – 208 .
- Keilman , N. 1997 . Ex Post Errors in Official Population Forecasts in Industrialized Countries . Journal of Official Statistics (Statistics Sweden) , 13 : 245 – 247 .
- Keilman , N. 1998 . How Accurate Are the United Nations World Population Projections? . Population and Development Review , 24 : 15 – 41 .
- Koissi , M.-C. , Shapiro , A. and HÖhnäs , G. 2006 . Evaluating and Extending the Lee-Carter Model for Mortality ForecAsting: Bootstrap Confidence Interval . Insurance: Mathematics and Economics , 38 : 1 – 20 .
- Lee , R. D. and Carter , L. R. 1992 . Modeling and ForecAsting U.S. Mortality . Journal of the American Statistical Association , 87 : 659 – 675 .
- Lee , R. D. and Miller , T. 2001 . Evaluating the Performance of the Lee-Carter Method for ForecAsting Mortality . Demography , 38 : 37 – 549 .
- Li , J. S.-H. , Hardy , M. R. and Tan , K. S. 2009 . Uncertainty in Mortality ForecAsting: An Extension of the Classical Lee-Carter Approach . Astin Bulletin , 39 : 137 – 164 .
- Longstaff , F. A. and SChwartz , E. S. 1992 . Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model . Journal of Finance , 47 : 1259 – 1282 .
- National Research Council Beyond Six Billion: ForecAsting the World’s Population edited by Bongaerts J. Bulatao R. A. National Academy Press Washington, DC 2000
- Osmond , C. 1985 . Using Age, Period and Cohort Models to Estimate Future Mortality Rates . International Journal of Epidemiology , 14 : 124 – 29 .
- Renshaw , A. E. and Haberman , S. 2006 . A Cohort-Based Extension to the Lee-Carter Model for Mortality Reduction Factors . Insurance: Mathematics and Economics , 38 : 556 – 570 .
- Vasicek , O. 1977 . An Equilibrium Characterization of the Term Structure . Journal of Financial Economics , 5 : 177 – 188 .
- Wilmoth , J. R. 1998 . Is the Pace of Japanese Mortality Decline Converging toward International Trends? . Population and Development Review , 24 : 593 – 600 .