Measurement of Longevity Risk Using Bootstrapping for Lee–Carter and Generalised Linear Poisson Models of Mortality |
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Authors: | S. Haberman A. E. Renshaw |
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Affiliation: | (1) Cass Business School, City University, London, EC1Y 8TZ, UK |
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Abstract: | This paper provides a comparative investigation of simulation strategies for measuring the longevity risk associated with predictions of mortality rates and derived estimates of life expectancy. The study considers the Lee–Carter framework and a generalised linear Poisson model for representing the dynamics of mortality, as well as enhancements that allow for joint modelling of the dispersion and the effect of using a negative binomial rather than a Poisson assumption. |
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Keywords: | Poisson modeling Dispersion Joint modeling Negative binomial modeling Mortality projections Simulations |
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