Measurement of Longevity Risk Using Bootstrapping for Lee–Carter and Generalised Linear Poisson Models of Mortality

S. Haberman () and A. E. Renshaw
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S. Haberman: City University
A. E. Renshaw: City University

Methodology and Computing in Applied Probability, 2009, vol. 11, issue 3, 443-461

Abstract: Abstract This paper provides a comparative investigation of simulation strategies for measuring the longevity risk associated with predictions of mortality rates and derived estimates of life expectancy. The study considers the Lee–Carter framework and a generalised linear Poisson model for representing the dynamics of mortality, as well as enhancements that allow for joint modelling of the dispersion and the effect of using a negative binomial rather than a Poisson assumption.

Keywords: Poisson modeling; Dispersion; Joint modeling; Negative binomial modeling; Mortality projections; Simulations; 62N99 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s11009-008-9100-8

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