232
Views
2
CrossRef citations to date
0
Altmetric
Longevity 13 Articles

Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach

, &

References

  • Blake, D., K. Dowd, and A. J. G. Cairns. 2008. Longevity risk and the grim reaper’s toxic tail: The survivor fan charts. Insurance: Mathematics and Economics 42:1062–68.
  • Butt, Z., and S. Haberman. 2009. llc: A collection of R functions for fitting a class of Lee-Carter mortality models using iterative fitting algorithms, Report No. 190), Faculty of Actuarial Science and Insurance, City University London.
  • Cairns, A. J. G., D. Blake, and K. Dowd. 2006. A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration. Journal of Risk and Insurance 73:687–718.
  • Czado, C., A. Delwarde, and M. Denuit. 2005. Bayesian Poisson log-bilinear mortality projections. Insurance: Mathematics and Economics 36:260–84.
  • Fong, J. H., A. W. Shao, and M. Sherris. 2015. Multistate actuarial models of functional disability. North American Actuarial Journal 19 (1):41–59.
  • Fung, M. C., G. W. Peters, and P. V. Shevchenko. 2017. A unified approach to mortality modelling using state-space framework: Characterization, identification, estimation and forecasting, Annals of Actuarial Science 11 (2):343–89.
  • Gelfand, A. E., S. E. Hills, A. Racine-Poon, and A. F. M. Smith. 1990. Illustration of Bayesian inference in normal data models using Gibbs sampling. Journal of the American Statistical Association 85:972–85.
  • Gouréroux, C., and Y. Lu. 2013. Long-term care and longevity. Discussion Paper PI-1306, The Pensions Institute, Cass Business School, City University London.
  • Kogure, A., K. Kitsukawa, and Y. Kurachi. 2008. A Bayesian comparison of models for changing mortalities toward evaluating the longevity risk in Japan. Asia-Pacific Journal of Risk and Insurance 3:1–22.
  • Kogure, A., and Y. Kurachi. 2010. A Bayesian approach to pricing longevity risk: With applications to Japanese mortality data. Insurance: Mathematics and Economics 46 (1):162–72.
  • Lee, R. D., and L. R. Carter. 1992. Modeling and forecasting U.S. mortality. Journal of the American Statistical Association 87:659–71.
  • Levantesi, S., and M. Menzietti. 2012. Managing longevity and disability risks in life annuities with long term care. Insurance: Mathematics and Economics 50 (3):391–401.
  • Li, N., and R. Lee. 2005. Coherent mortality forecasts for a group of populations: An extension of the Lee-Carter method. Demography 42 (3):575–94.
  • Li, Z., A. W. Shao, and M. Sherris. 2017. The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates. North American Actuarial Journal 21 (4):594–610.
  • Pedroza, C. 2006. A Bayesian forecasting model: Predicting U.S. male mortality. Biostatistics 7:530–50.
  • Renshaw, A., and S. Haberman. 2006. A cohort-based extension to the Lee-Carter model for mortality reduction factors. Insurance: Mathematics and Economics 38 (3):556–70.
  • Shao, A. W., M. Sherris, and J. H. Fong. 2017. Product pricing and solvency capital requirements for long-term care insurance. Scandinavian Actuarial Journal 2017 (2):175–208.

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:

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:

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.