A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing

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Fung, Man Chung; Peters, Gareth W.; Shevchenko, Pavel V.;
(2015)
  • Subject: Quantitative Finance - Computational Finance

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. Existing relevant literature focuses mainly on mortality forecasting or pricing of longevity der... View more
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