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

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

Renshaw, A. E. & Haberman, S. (2007). On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling. London, UK: .

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:	Bayes Business School > Actuarial Science & Insurance > Actuarial Research Reports
SWORD Depositor:	Symplectic Administrator

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Creators:	Renshaw, A. E. Haberman, S.
Status:	Published
URI:	https://openaccess.city.ac.uk/id/eprint/2313
Date available in CRO:	23 Apr 2013 14:35
Dates:	Date Event 2007 Published