User menu

First-Order Mortality Basis for Life Annuities

Bibliographic reference Denuit, Michel ; Frostig, Esther. First-Order Mortality Basis for Life Annuities. In: The Geneva Risk and Insurance Review, Vol. 33, no. 2, p. 75-89 (2008)
Permanent URL
  1. BOOTH HEATHER, MAINDONALD JOHN, SMITH LEN, Applying Lee-Carter under conditions of variable mortality decline, 10.1080/00324720215935
  2. Brouhns Natacha, Denuit * Michel, Van Keilegom Ingrid, Bootstrapping the Poisson log-bilinear model for mortality forecasting, 10.1080/03461230510009754
  3. Brouhns, N., Denuit, M. and Vermunt, J.K. (2002a) ‘A Poisson log-bilinear approach to the construction of projected lifetables’, Insurance: Mathematics and Economics 31: 373–393.
  4. Brouhns, N., Denuit, M. and Vermunt, J.K. (2002b) ‘Measuring the longevity risk in mortality projections’, Bulletin of the Swiss Association of Actuaries 2002 (2): 105–130.
  5. Cossette Hélène, Delwarde Antoine, Denuit Michel, Guillot Frédérick, Marceau Étienne, Pension Plan Valuation and Mortality Projection : A Case Study with Mortality Data, 10.1080/10920277.2007.10597445
  6. Czado, C., Delwarde, A. and Denuit, M. (2005) ‘Bayesian Poisson log-bilinear mortality projections’, Insurance: Mathematics & Economics 36: 260–284.
  7. Delwarde Antoine, Denuit Michel, Eilers Paul, Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting : A penalized log-likelihood approach, 10.1177/1471082x0600700103
  8. Delwarde Antoine, Denuit Michel, Partrat Christian, Negative binomial version of the Lee–Carter model for mortality forecasting, 10.1002/asmb.679
  9. Denuit Michel, Frostig Esther, Association and heterogeneity of insured lifetimes in the Lee–Carter framework, 10.1080/03461230601165029
  10. Denuit, M. and Frostig, E. (2007b) Life insurance mathematics with random life tables, working paper 07-07, Institut des Sciences Actuarielles, Université Catholique de Louvain, Louvain-la-Neuve, Belgium.
  11. Denuit, M. and Goderniaux, A.-C. (2005) ‘Closing and projecting lifetables using log-linear models’, Bulletin of the Swiss Association of Actuaries 2005: 29–49.
  12. De Pril Nelson, Recursions for Convolutions of Arithmetic Distributions, 10.2143/ast.15.2.2015024
  13. Frostig E., Haberman S., Levikson B., Generalized Life Insurance: Ruin Probabilities, 10.1080/03461230110106390
  14. Lee, R.D. and Carter, L. (1992) ‘Modelling and forecasting the time series of US mortality’, Journal of the American Statistical Association 87: 659–671.
  15. H. Panjer Harry, Shaun Wang, On the Stability of Recursive Formulas, 10.2143/ast.23.2.2005093
  16. Renshaw, A.E. and Haberman, S. (2003) ‘Lee–Carter mortality forecasting with age specific enhancement’, Insurance: Mathematics & Economics 33: 255–272.
  17. Renshaw A.E., Haberman S., On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee–Carter modelling, 10.1016/j.insmatheco.2007.08.009
  18. Wang, S. (1995) ‘Insurance pricing and increased limits ratemaking by proportional hazard transforms’, Insurance: Mathematics & Economics 17: 43–54.