StMoMo

R package StMoMo: Stochastic Mortality Modelling. Implementation of the family of generalised age-period-cohort stochastic mortality models. This family of models encompasses many models proposed in the actuarial and demographic literature including the Lee-Carter (1992) <doi:10.2307/2290201> and the Cairns-Blake-Dowd (2006) <doi:10.1111/j.1539-6975.2006.00195.x> models. It includes functions for fitting mortality models, analysing their goodness-of-fit and performing mortality projections and simulations.

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References in zbMATH (referenced in 26 articles , 2 standard articles )

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  1. Sridaran, Dilan; Sherris, Michael; Villegas, Andrés M.; Ziveyi, Jonathan: A group regularisation approach for constructing generalised age-period-cohort mortality projection models (2022)
  2. Boumezoued, Alexandre; Elfassihi, Amal: Mortality data correction in the absence of monthly fertility records (2021)
  3. Bravo, Jorge M.; Ayuso, Mercedes; Holzmann, Robert; Palmer, Edward: Addressing the life expectancy gap in pension policy (2021)
  4. Cadena, Meitner; Denuit, Michel: A new measure of mortality differentials based on precedence probability (2021)
  5. Hunt, Andrew; Blake, David: On the structure and classification of mortality models (2021)
  6. Kung, Ko-Lun; Liu, I-Chien; Wang, Chou-Wen: Modeling and pricing longevity derivatives using Skellam distribution (2021)
  7. Leung, Melvern; Li, Youwei; Pantelous, Athanasios A.; Vigne, Samuel A.: Bayesian value-at-risk backtesting: the case of annuity pricing (2021)
  8. Li, Jackie; Lee, Maggie; Guthrie, Simon: A double common factor model for mortality projection using best-performance mortality rates as reference (2021)
  9. Palmborg, Lina; Lindholm, Mathias; Lindskog, Filip: Financial position and performance in IFRS 17 (2021)
  10. Redondo Lourés, Cristian; Cairns, Andrew J. G.: Cause of death specific cohort effects in U.S. mortality (2021)
  11. Atance, David; Balbás, Alejandro; Navarro, Eliseo: Constructing dynamic life tables with a single-factor model (2020)
  12. Basellini, Ugofilippo; Kjærgaard, Søren; Camarda, Carlo Giovanni: An age-at-death distribution approach to forecast cohort mortality (2020)
  13. Boumezoued, Alexandre; Hoffmann, Marc; Jeunesse, Paulien: A new inference strategy for general population mortality tables (2020)
  14. Hatzopoulos, Peter; Sagianou, Aliki: Introducing and evaluating a new multiple-component stochastic mortality model (2020)
  15. Santolino, Miguel: The Lee-Carter quantile mortality model (2020)
  16. Guibert, Quentin; Lopez, Olivier; Piette, Pierrick: Forecasting mortality rate improvements with a high-dimensional VAR (2019)
  17. Pascariu, Marius D.; Lenart, Adam; Canudas-Romo, Vladimir: The maximum entropy mortality model: forecasting mortality using statistical moments (2019)
  18. Zhou, Kenneth Q.; Li, Johnny Siu-Hang: Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk (2019)
  19. Andrés Villegas; Vladimir Kaishev; Pietro Millossovich: StMoMo: An R Package for Stochastic Mortality Modeling (2018) not zbMATH
  20. Leung, Melvern; Fung, Man Chung; O’Hare, Colin: A comparative study of pricing approaches for longevity instruments (2018)

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