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 (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:	Bayes Business School > Actuarial Science & Insurance > Actuarial Research Reports