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Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality. (2011). Chan, Wai-Sum ; Li, Johnny Siu-Hang.
In: Insurance: Mathematics and Economics.
RePEc:eee:insuma:v:49:y:2011:i:1:p:81-88.

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  1. Forecasting: theory and practice. (2022). Thomakos, Dimitrios ; Shang, Han Lin ; Sermpinis, Georgios ; Rubaszek, Michał ; Reade, J ; Paccagnini, Alessia ; Martinez, Andrew ; Li, Feng ; Hendry, David ; Guidolin, Massimo ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Babai, Mohamed Zied ; Assimakopoulos, Vassilios ; Pedregal, Diego J ; Trapero, Juan Ramon ; Meeran, Sheik ; Koehler, Anne B ; Guseo, Renato ; Gunter, Ulrich ; Barrow, Devon K ; Pavia, Jose M ; de Baets, Shari ; Talagala, Priyanga Dilini ; Januschowski, Tim ; Frazier, David T ; Jeon, Jooyoung ; Hollyman, Ross ; Panagiotelis, Anastasios ; Petropoulos, Fotios ; Gilliland, Michael ; Thorarinsdottir, Thordis ; Boylan, John E ; Winkler, Robert L ; Yusupova, Alisa ; Ziel, Florian ; Pinson, Pierre ; Rapach, David E ; Ellison, Joanne ; Bessa, Ricardo J ; Dokumentov, Alexander ; Cyrino, Fernando Luiz ; Modis, Theodore ; Apiletti, Daniele ; Browell, Jethro ; Goodwin, Paul ; Kang, Yanfei ; Pedio, Manuela ; Kolassa, Stephan ; Carnevale, Claudio ; Ramos, Patricia ; Grushka-Cockayne, Yael ; Todini, Ezio ; Makridakis, Spyros ; Cordeiro, Clara ; Cirillo, Pasquale ; Wang, Xiaoqian ; Spiliotis, Evangelos ; Tashman, Len ; ben Taieb, Souhaib ; Bergmeir, Christoph ; Bijak, Jakub ; Kourentzes, Nikolaos ; Guo, Xiaojia ; Nikolopoulos, Konstantinos ; Leva, Sonia ; Rostami-Tabar, Bahman ; Panapakidis, Ioannis ; Harvey, Nigel ; Richmond, Victor ; Onkal, Dilek ; Litsiou, Konstantia ; Gonul, Sinan M ; Syntetos, Aris A.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:38:y:2022:i:3:p:705-871.

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  2. Longevity risk and capital markets: The 2019-20 update. (2021). Blake, David.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439.

    Full description at Econpapers || Download paper

  3. An L1 smoother for outlier cleaning of time series. (2020). Amerise, Ilaria Lucrezia ; Tarsitano, Agostino.
    In: Journal of Statistical and Econometric Methods.
    RePEc:spt:stecon:v:9:y:2020:i:1:f:9_1_3.

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  4. Longevity risk and capital markets: The 2015–16 update. (2018). Loisel, Stéphane ; Blake, David ; MacMinn, Richard ; el Karoui, Nicole.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173.

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  5. Age-specific copula-AR-GARCH mortality models. (2015). Lin, Tzuling ; Wang, Chou-Wen ; Tsai, Cary Chi-Liang.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:61:y:2015:i:c:p:110-124.

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References

References cited by this document

  1. Blake, D. ; Cairns, A.J.G. ; Dowd, K. Longevity risk and the grim reaper’s toxic tail: the survivor fan charts. 2008 Insurance: Mathematics and Economics. 42 1062-1066

  2. Box, G.E.P. ; Jenkins, G.M. Time Series Analysis: Forecasting and Control. 1976 Holden Day: San Francisco
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  3. Cairns, A.J.G. ; Blake, D. ; Dowd, K. A two-factor model for stochastic mortality with parameter uncertainty: theory and calibration. 2006 Journal of Risk and Insurance. 73 687-718

  4. Cheung, S.H. ; Wu, K.H. ; Chan, W.S. Simultaneous prediction intervals for autoregressive-integrated moving-average models: a comparative study. 1998 Computational Statistics and Data Analysis. 28 297-306

  5. Cryer, J.D. Time Series Analysis. 1986 Duxbury Press: London
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  6. Davison, A.C. ; Hinkley, D.V. Bootstrap Methods and their Applications. 1997 Cambridge University Press: Cambridge, UK
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  7. Denuit, M., 2009. Dynamic Life Tables: Construction and Applications. In: Keynote Lecture at the International Association of Actuaries Life Colloquium. Munich, Germany.
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  8. Efron, B. ; Tibshirani, R.J. An Introduction to the Bootstrap. 1993 Chapman & Hall: London
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  9. Genz, A. Numerical computation of multivariate normal probabilities. 1992 Journal of Computational and Graphical Statistics. 1 141-149
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  10. Glaz, J. ; Ravishanker, N. Simultaneous prediction intervals for multiple forecasts based on bonferroni and product-type inequalities. 1991 Statistics and Probability Letters. 12 57-63

  11. Haberman, S. ; Renshaw, A. On age-period-cohort parametric mortality rate projections. 2009 Insurance: Mathematics and Economics. 45 255-270

  12. Human Mortality Database. University of California, Berkeley (USA), and Max Planck Institute of Demographic Research (Germany). Available at www.mortality.org or www.humanmortality.de (data downloaded on 1 Jan 2010).
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  13. Kolsrud, D. Time-simultaneous prediction band for a time series. 2007 Journal of Forecasting. 26 171-188

  14. Lee, R. ; Carter, L. Modeling and forecasting US mortality. 1992 Journal of the American Statistical Association. 87 659-671

  15. Li, S.H. ; Chan, W.S. Outlier analysis and mortality forecasting: the united kingdom and scandinavian countries. 2005 Scandinavian Actuarial Journal. 3 187-211
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  16. Ravishanker, N. ; Hochberg, Y. ; Melnick, E.L. Approximate simultaneous prediction intervals for multiple forecasts. 1987 Technometrics. 29 371-376
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  17. Ravishanker, N. ; Wu, L.S.Y. ; Glaz, J. Multiple prediction intervals for time series: comparison of simultaneous and marginal intervals. 1991 Journal of Forecasting. 10 445-463
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  18. Schwarz, G. Estimating the dimension of a model. 1978 Annals of Statistics. 6 461-464
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  19. Wilmoth, J.R., 1993. Computational methods for fitting and extrapolating the Lee–Carter model of mortality change. Technical report, Department of Demography. University of California, Berkeley.
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Cocites

Documents in RePEc which have cited the same bibliography

  1. Longevity risk and capital markets: The 2019-20 update. (2021). Blake, David.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439.

    Full description at Econpapers || Download paper

  2. Enhancing risk management for an aging world. (2018). Mitchell, Olivia.
    In: The Geneva Risk and Insurance Review.
    RePEc:pal:genrir:v:43:y:2018:i:2:d:10.1057_s10713-018-0027-x.

    Full description at Econpapers || Download paper

  3. Longevity: a new asset class. (2018). Blake, David.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:19:y:2018:i:5:d:10.1057_s41260-018-0084-9.

    Full description at Econpapers || Download paper

  4. Enhancing risk management for an aging world. (2018). Mitchell, Olivia.
    In: The Geneva Papers on Risk and Insurance Theory.
    RePEc:kap:geneva:v:43:y:2018:i:2:d:10.1057_s10713-018-0027-x.

    Full description at Econpapers || Download paper

  5. Longevity risk and capital markets: The 2015–16 update. (2018). Loisel, Stéphane ; Blake, David ; MacMinn, Richard ; el Karoui, Nicole.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173.

    Full description at Econpapers || Download paper

  6. The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts. (2016). Blake, David ; Dowd, Kevin.
    In: Risks.
    RePEc:gam:jrisks:v:4:y:2016:i:3:p:21-:d:73310.

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  7. Cohort mortality risk or adverse selection in annuity markets?. (2016). Tonks, Ian ; Cannon, Edmund.
    In: Journal of Public Economics.
    RePEc:eee:pubeco:v:141:y:2016:i:c:p:68-81.

    Full description at Econpapers || Download paper

  8. Stochastic life table forecasting: A time-simultaneous fan chart application. (2013). Chan, W. S. ; Ng, A. C. Y., ; Li, J. S. H., .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:93:y:2013:i:c:p:98-107.

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  9. Pricing and securitization of multi-country longevity risk with mortality dependence. (2013). Yang, Sharon S. ; Wang, Chou-Wen.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:52:y:2013:i:2:p:157-169.

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  10. Lifecycle Portfolio Choice With Systematic Longevity Risk and Variable Investment—Linked Deferred Annuities. (2013). Mitchell, Olivia ; Kartashov, Vasily ; Rogalla, Ralph ; Maurer, Raimond.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:80:y:2013:i:3:p:649-676.

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  11. The New Life Market. (2013). Blake, David ; MacMinn, Richard ; Dowd, Kevin ; Coughlan, Guy ; Cairns, Andrew.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:80:y:2013:i:3:p:501-558.

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  12. Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko. (2012). Bohm, Thomas ; Waldvogel, Felix .
    In: Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers).
    RePEc:zbw:bayfat:201202.

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  13. Longevity risks and capital markets: The 2010-2011 update. (2011). Blake, David ; MacMinn, Richard ; Sherris, Michael ; Courbage, Christophe.
    In: MPRA Paper.
    RePEc:pra:mprapa:34279.

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  14. Longevity risk and capital markets: The 2009-2010 update. (2011). Blake, David ; Cox, Samuel ; MacMinn, Richard ; Brockett, Patrick.
    In: MPRA Paper.
    RePEc:pra:mprapa:28868.

    Full description at Econpapers || Download paper

  15. Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality. (2011). Chan, Wai-Sum ; Li, Johnny Siu-Hang.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:1:p:81-88.

    Full description at Econpapers || Download paper

  16. IFRS Convergence: The Role of Stochastic Mortality Models in the Disclosure of Longevity Risk for Defined Benefit Plans. (2011). Fujisawa, Yosuke ; Li, Johnny Siu-Hang.
    In: Asia-Pacific Journal of Risk and Insurance.
    RePEc:bpj:apjrin:v:5:y:2011:i:1:n:2.

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  17. Sharing longevity risk: Why governments should issue longevity bonds. (2010). Blake, David ; Boardman, Tom ; Cairns, Andrew.
    In: MPRA Paper.
    RePEc:pra:mprapa:34184.

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  18. Securitization of Longevity and Mortality Risk. (2010). Cipra, Tomas .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:60:y:2010:i:6:p:545-560.

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  19. An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation. (2010). Lin, Tzuling ; Tzeng, Larry Y..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:2:p:423-435.

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  20. A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions. (2010). Kurachi, Yoshiyuki ; Kogure, Atsuyuki.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:1:p:162-172.

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  21. Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers. (2008). Blake, David ; Dowd, Kevin ; Cairns, Andrew.
    In: MPRA Paper.
    RePEc:pra:mprapa:33749.

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  22. The Birth of the Life Market. (2008). Blake, David ; Dowd, Kevin ; Cairns, Andrew.
    In: Asia-Pacific Journal of Risk and Insurance.
    RePEc:bpj:apjrin:v:3:y:2008:i:1:n:2.

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Authors registered in RePEc who have wrote about the same topic

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