A Gravity Model of Mortality Rates for Two Related Populations

North American Actuarial Journal

Volumn 15, Issue 2, 2011, Pages 334-356

  Dowd, Kevin ^a   Cairns, Andrew J G ^b   Blake, David ^a   Coughlan, Guy D ^c   Khalaf Allah, Marwa ^c  

^a CITY UNIVERSITY   (United Kingdom)

^b HERIOT WATT UNIVERSITY   (United Kingdom)

^c Pension Advisory Group   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 80155171022     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2011.10597624     Document Type: Article

References (14)

1. Booth, H., and L. Tickle. 2008. Mortality Modelling and Forecasting: A Review of Methods. Annals of Actuarial Science 3: 3-43.
2. Cairns, A. J. G., D. Blake, K. Dowd, G. D. Coughlan, D. Epstein, A. Ong, and I. Balevich. 2009. A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States. North American Actuarial Journal 13(4): 1-35.
3. Cairns, A. J. G., D. Blake, K. Dowd, G. D. Coughlan, and M. Khalaf-Allah. 2011a. Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models. Insurance: Mathematics & Economics 48: 355-367.
4. Cairns, A. J. G., D. Blake, K. Dowd, G. D. Coughlan, and M. Khalaf-Allah. 2011b. Bayesian Stochastic Mortality Modelling for Two Populations. ASTIN Bulletin 41(1): 29-59.
5. Coughlan, G. D., M. Khalaf-Allah, Y. Ye, S. Kumar, A. J. G. Cairns, D. Blake, and K. Dowd. 2011. Longevity Hedging 101: A Framework for Longevity Basis Risk Analysis and Hedge Effectiveness. North American Actuarial Journal 15(2): 150-176.
6. Dowd, K., A. J. G. Cairns, D. Coughlan, D. Epstein, and M. Khalaf-Allah. 2010a. Evaluating the Goodness of Fit of Stochastic Mortality Models. Insurance: Mathematics & Economics 33: 29-47.
7. Dowd, K., A. J. G. Cairns, D. Blake, G. D. Coughlan, D. Epstein, and M. Khalaf-Allah. 2010b. Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multiperiod-Ahead Density Forecasts. North American Actuarial Journal 14(3): 281-298.
8. Gunawardena, D., C. Hicks, and D. O’Neill. 2008. Pension Annuities: Pension Annuities and the Open Market Solution. Association of British Insurers Research Paper No. 8.
9. Jacobsen, R., N. Keiding, and E. Lynge. 2002. Long-Term Mortality Trends behind Low Life Expectancy of Danish Women. Journal of Epidemiology and Community Health 56: 205-208.
10. Jarner, S. F., and E. M. Kryger. 2009. Modelling Adult Mortality in Small Populations: The SAINT Model. Pensions Institute Discussion Paper PI-0902.
11. Li, J. S. H., and M. R. Hardy. 2011. Measuring Basis Risk in Longevity Hedges. North American Actuarial Journal 15(2): 177-200.
12. Li, N., and R. Lee. 2005. Coherent Mortality Forecasts for a Group of Populations: An Extension of the Lee-Carter Method. Demography42(3): 575-594.
13. Oeppen, J., and J. W. Vaupel. 2002. Broken Limits to Life Expectancy. Science 296(5570): 1029-1031.
14. Osmond, C. 1985. Using Age, Period and Cohort Models to Estimate Future Mortality Rates. International Journal of Epidemiology14: 124-129.