Macquarie University, Sydney Macquarie University ResearchOnline

Showing items 1 - 15 of 22.

Add to Quick Collection   All 22 Results

Sort:
 Add All Items to Quick Collection
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1104876
Description: The economic implications of increasing life expectancy are important concerns for governments in developed countries. The aims of this study were as follows: (i) to forecast mortality for 14 develope ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1184697
Description: Media DordrechtMortality forecasts are critically important inputs to the consideration of a range of demographically-related policy challenges facing governments in more developed countries. While me ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1049502
Description: The earlier work on mortality modelling and forecasting has largely focused on the study of a single population. Recently, there is an emerging strand of literature that emphasises the interrelationsh ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1193247
Description: In this paper, building upon the idea of cross-sectional survival probabilities developed by Brouard (Espaces Popul Soc 2(14–15):157–168, 1986), we propose using stochastic models to study the evoluti ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1049515
Description: Natural hedging is one possible method to reduce longevity risk exposure for an annuity provider or a pension plan. In this paper, we provide an assessment of the effectiveness of natural hedging betw ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1049516
Description: When a bonus–malus system with a single set of optimal relativities and a set of simple transition rules is implemented, two inadequacy scenarios are induced because all policyholders are subject to t ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1050264
Description: Where mortality projection is concerned, it is essential to quantify the extent of the prediction error. This is especially important in light of the aggravating risk of longevity and as a result the ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1045653
Description: In this article, we propose a Bayesian multivariate framework to price reverse mortgages that involve several risks in both insurance and financial sectors (e.g., mortality rates, interest rates, and ... More
Reviewed: Reviewed
Authors: Li, Jackie
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1043578
Description: We compare quantitatively six simulation strategies for mortality projection with the Poisson Lee–Carter model. We test these strategies on New Zealand mortality data and discuss the simulated results ... More
Reviewed: Reviewed
Authors: Li, Jackie
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1044970
Description: In this paper, we investigate the use of Bayesian modeling and Markov chain Monte Carlo (MCMC) simulation, via the software WinBUGS, to project future mortality for populations with limited data. In p ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1044661
Description: In this paper, we investigate the construction of mortality indexes using the time-varying parameters in common stochastic mortality models. We first study how existing models can be adapted to satisf ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1044192
Description: Most extrapolative stochastic mortality models are constructed in a similar manner. Specifically, when they are fitted to historical data, one or more series of time-varying parameters are identified. ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1045577
Description: Standardised mortality derivatives are an innovative and practical tool for annuity providers and pension plan sponsors to manage their longevity risk. There is, however, a major concern over the exis ... More
Reviewed: Reviewed
Authors: Li, Jackie
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/207155
Description: We examine the application of a Poisson common factor model for the projection of mortality jointly for females and males. The model structure is an extension of the classical Lee–Carter method in whi ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1053204
Description: 10 page(s)
Reviewed: Reviewed