Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Author:

Fung Man Chung,Peters Gareth,Shevchenko Pavel V.

Publisher

Elsevier BV

Reference58 articles.

1. Particle Markov Chain Monte Carlo Methods;C Andrieu;Journal of Royal Statistical Society Series B,2010

2. Understanding, modelling and managing longevity risk: key issues and main challenges;P Barrieu;Scandinavian Actuarial Journal,2012

3. Affine processes for dynamic mortality and actuarial valuations;E Biffis;Insurance: Mathematics and Economics,2005

4. A Poisson log-bilinear regression approach to the construction of projected lifetables;N Brouhns;Insurance: Mathematics and Economics,2002

5. A two-factor model for stochastic mortality with parameter uncertainty: theory and calibration;A Cairns;Journal of Risk and Insurance,2006

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1. Model risk in mortality-linked contingent claims pricing;Journal of Risk Model Validation;2022

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