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  • Search: subject:"stochastic mortality model"
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Year of publication
Subject
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Mortality 13 Sterblichkeit 13 stochastic mortality model 11 Stochastic process 10 Stochastischer Prozess 10 Forecasting model 7 Prognoseverfahren 7 Risikomodell 7 Risk model 7 Theorie 7 Theory 7 Actuarial mathematics 6 Stochastic mortality model 6 Versicherungsmathematik 6 Lebensversicherung 5 Life insurance 5 Risiko 5 Risk 5 longevity risk 4 Monte Carlo simulation 3 Monte-Carlo-Simulation 3 Mortality dependence 3 common age effect model 3 AR-GARCH 2 Age group 2 Altersgruppe 2 Copula 2 Disaster 2 Katastrophe 2 Lee-Carter model 2 Maltese mortality 2 Markov chain Monte Carlo 2 Multivariate Verteilung 2 Multivariate distribution 2 Pension fund 2 Pensionskasse 2 Risikomanagement 2 Risk management 2 Statistical distribution 2 Statistische Verteilung 2
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Online availability
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Free 8 Undetermined 5 CC license 1
Type of publication
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Article 18
Type of publication (narrower categories)
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Article in journal 13 Aufsatz in Zeitschrift 13 Article 3
Language
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English 16 Undetermined 2
Author
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Kleinow, Torsten 4 Wang, Chou-Wen 3 Hirz, Jonas 2 Korn, Ralf 2 Lin, Tzuling 2 Menzietti, Massimiliano 2 Morabito, Maria Francesca 2 Schmock, Uwe 2 Schnürch, Simon 2 Shevchenko, Pavel V. 2 Stranges, Manuela 2 Tsai, Cary Chi-Liang 2 Antonio, Katrien 1 Bauer, Daniel 1 Bertschi, Ljudmila 1 Cairns, Andrew 1 Chan, Jennifer So Kuen 1 Enchev, Vasil 1 Fong, Joelle H. 1 Huang, Hong-Chih 1 Huang, Hong-chih 1 Kramer, Florian 1 Li, Jackie 1 Liu, I-chien 1 MIRCEA, Iulian 1 Peters, Gareth 1 Robben, Jens 1 Wan, Cheng 1 Wang, Chou-wen 1 Yan, Hongxuan 1 Yang, Sharon S. 1
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Published in...
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Insurance / Mathematics & economics 4 Risks 3 Risks : open access journal 3 Insurance: Mathematics and Economics 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of pension economics and finance : JPEF 1 Scandinavian actuarial journal 1 The Geneva papers on risk and insurance - issues and practice : an official journal of the Geneva Association 1 The journal of risk & insurance 1 The journal of risk model validation 1 Timisoara Journal of Economics 1
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Source
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ECONIS (ZBW) 13 EconStor 3 RePEc 2
Showing 1 - 10 of 18
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Mandatory annuitization and money's worth : evidence from Singapore
Fong, Joelle H.; Li, Jackie - In: Journal of pension economics and finance : JPEF 21 (2022) 3, pp. 405-424
Persistent link: https://www.econbiz.de/10013269961
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Catastrophe risk in a stochastic multi-population mortality model
Robben, Jens; Antonio, Katrien - In: The journal of risk & insurance 91 (2024) 3, pp. 599-651
Persistent link: https://www.econbiz.de/10015121184
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Clustering-based extensions of the common age effect multi-population mortality model
Schnürch, Simon; Kleinow, Torsten; Korn, Ralf - In: Risks 9 (2021) 3, pp. 1-32
We introduce four variants of the common age effect model proposed by Kleinow, which describes the mortality rates of multiple populations. Our model extensions are based on the assumption of multiple common age effects, each of which is shared only by a subgroup of all considered populations....
Persistent link: https://www.econbiz.de/10013200714
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Clustering-based extensions of the common age effect multi-population mortality model
Schnürch, Simon; Kleinow, Torsten; Korn, Ralf - In: Risks : open access journal 9 (2021) 3, pp. 1-32
We introduce four variants of the common age effect model proposed by Kleinow, which describes the mortality rates of multiple populations. Our model extensions are based on the assumption of multiple common age effects, each of which is shared only by a subgroup of all considered populations....
Persistent link: https://www.econbiz.de/10012508477
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Mortality projections for small populations: An application to the Maltese elderly
Menzietti, Massimiliano; Morabito, Maria Francesca; … - In: Risks 7 (2019) 2, pp. 1-25
In small populations, mortality rates are characterized by a great volatility, the datasets are often available for a few years and suffer from missing data. Therefore, standard mortality models may produce high uncertain and biologically improbable projections. In this paper, we deal with the...
Persistent link: https://www.econbiz.de/10013200453
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Mortality projections for small populations : an application to the Maltese elderly
Menzietti, Massimiliano; Morabito, Maria Francesca; … - In: Risks : open access journal 7 (2019) 2/35, pp. 1-25
In small populations, mortality rates are characterized by a great volatility, the datasets are often available for a few years and suffer from missing data. Therefore, standard mortality models may produce high uncertain and biologically improbable projections. In this paper, we deal with the...
Persistent link: https://www.econbiz.de/10012019318
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Model risk in mortality-linked contingent claims pricing
Peters, Gareth; Yan, Hongxuan; Chan, Jennifer So Kuen - In: The journal of risk model validation 16 (2022) 3, pp. 1-53
Persistent link: https://www.econbiz.de/10014540592
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Actuarial applications and estimation of extended CreditRisk+
Hirz, Jonas; Schmock, Uwe; Shevchenko, Pavel V. - In: Risks 5 (2017) 2, pp. 1-29
We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death …
Persistent link: https://www.econbiz.de/10011709589
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Actuarial applications and estimation of extended CreditRisk+
Hirz, Jonas; Schmock, Uwe; Shevchenko, Pavel V. - In: Risks : open access journal 5 (2017) 2, pp. 1-29
We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death …
Persistent link: https://www.econbiz.de/10011643397
Saved in:
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Multi-population mortality models : fitting, forecasting and comparisons
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew - In: Scandinavian actuarial journal (2017) 4, pp. 319-342
Persistent link: https://www.econbiz.de/10011772151
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