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On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling

Renshaw, A. E. and Haberman, S. (2007). On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling (Report No. Actuarial Research Paper No. 181). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Abstract

This paper provides a comparative study of simulation strategies for assessing risk in mortality rate predictions and associated estimates of life expectancy and annuity values in both period and cohort frameworks.

Publication Type: Monograph (Working Paper)
Publisher Keywords: Poisson modelling, over-dispersion, joint modelling, negative binomial modelling, mortality projections, mortality statistics, simulated risk
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Actuarial Science & Insurance > Actuarial Research Reports
URI: http://openaccess.city.ac.uk/id/eprint/2313
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