Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II

By Rui Zhou, Yujiao Wang, K. Kaufhold, Johnny Siu-Hang Li, Ken Seng Tan. 2014

71 citations recorded by the source corpus.

Subfields: Demography, General Health Professions, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/4de7ee06b49a25ba8f8431647659998f940313a7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Rui Zhou
2. Mary R. Hardy
3. Johnny Siu-Hang Li
4. Andrew J. G. Cairns
5. Hailiang Yang
6. X. Lin
7. Guojun Gan
8. A. Ng

In General Health Professions

1. Rui Zhou
2. Mary R. Hardy
3. Johnny Siu-Hang Li
4. Andrew J. G. Cairns

In Management Science and Operations Research

1. Johnny Siu-Hang Li
2. Mary R. Hardy

Citations in the corpus

• A step-by-step guide to building two-population stochastic mortality models (2015, methodology): “The VECM for period effects can be expressed as ∆κ (i,j) t = µ (i,j) + α(i,j)(κ (i,1) t−1 − κ (i,2) t−1 ) + φ (i,j) 1 ∆κ (i,1) t−1 + φ (i,j) 2 ∆κ (i,2) t−1 + Z (i,j) t , for i = i0, . . . , i1 and j = 1, 2, where α (i,j), µ(i,j), φ (i,j) 1 and φ (i,j) 2 are model parameters, and Z (i,1) t and Z (i,2”