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

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.

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Bibliographic Details
Published in:	Insurance, mathematics & economics Vol. 42; no. 2; pp. 797 - 816
Main Authors:	Renshaw, A.E., Haberman, S.
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01-04-2008 Elsevier Elsevier Sequoia S.A
Series:	Insurance: Mathematics and Economics
Subjects:	Comparative analysis Estimation Insurance Joint modelling Life expectancy Life insurance Mathematical finance Measurement Mortality Mortality projections Mortality statistics Negative binomial modelling Over-dispersion Poisson distribution Poisson modelling Risk Risk management Simulated risk Simulation Statistics Stochastic models Studies Mortality projections Joint modelling Over-dispersion Poisson modelling Negative binomial modelling Mortality statistics Simulated risk
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Description
Summary:	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.
Bibliography:	ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23
ISSN:	0167-6687 1873-5959
DOI:	10.1016/j.insmatheco.2007.08.009