38 citations · 118 across the 15 of their papers we have counts for
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q-fin.CP2015
A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing
Man Chung Fung, Gareth W. Peters, Pavel V. Shevchenko
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existi…
q-fin.CP2015
Forecasting Leading Death Causes in Australia using Extended CreditRisk
Pavel V. Shevchenko, Jonas Hirz, Uwe Schmock
Recently we developed a new framework in Hirz et al (2015) to model stochastic mortality using extended CreditRisk methodology which is very different from traditional time ser…