{"id":"https://openalex.org/W1891108166","doi":"https://doi.org/10.2139/ssrn.2699624","title":"A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing","display_name":"A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing","publication_year":2015,"publication_date":"2015-01-01","ids":{"openalex":"https://openalex.org/W1891108166","doi":"https://doi.org/10.2139/ssrn.2699624","mag":"1891108166"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.2699624","doi":"https://doi.org/10.2139/ssrn.2699624","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2699624","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.2699624","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5042798356","display_name":"Man Chung Fung","orcid":"https://orcid.org/0000-0002-7830-8692","observed_orcids":["https://orcid.org/0000-0002-7830-8692"]},"institutions":[{"id":"https://openalex.org/I4405276010","display_name":"Commonwealth Bank of Australia (Australia)","ror":"https://ror.org/04pbqbn34","country_code":"AU","type":"company","lineage":["https://openalex.org/I4405276010"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Man Chung Fung","raw_affiliation_strings":["Commonwealth Bank of Australia"],"raw_orcid":"https://orcid.org/0000-0002-7830-8692","affiliations":[{"raw_affiliation_string":"Commonwealth Bank of Australia","institution_ids":["https://openalex.org/I4405276010"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5087616647","display_name":"Gareth William Peters","orcid":"https://orcid.org/0000-0003-2768-8979","observed_orcids":["https://orcid.org/0000-0003-2768-8979"]},"institutions":[{"id":"https://openalex.org/I154570441","display_name":"University of California, Santa Barbara","ror":"https://ror.org/02t274463","country_code":"US","type":"education","lineage":["https://openalex.org/I154570441"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Gareth Peters","raw_affiliation_strings":["University of California Santa Barbara, Santa Barbara, CA 93106, United States","University of California, Santa Barbara","affiliation not provided to SSRN"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of California Santa Barbara, Santa Barbara, CA 93106, United States","institution_ids":["https://openalex.org/I154570441"]},{"raw_affiliation_string":"University of California, Santa Barbara","institution_ids":["https://openalex.org/I154570441"]},{"raw_affiliation_string":"affiliation not provided to SSRN","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5079843797","display_name":"Pavel V. Shevchenko","orcid":"https://orcid.org/0000-0001-8104-8716","observed_orcids":["https://orcid.org/0000-0001-8104-8716"]},"institutions":[{"id":"https://openalex.org/I99043593","display_name":"Macquarie University","ror":"https://ror.org/01sf06y89","country_code":"AU","type":"education","lineage":["https://openalex.org/I99043593"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Pavel V. Shevchenko","raw_affiliation_strings":["Macquarie University - Department of Actuarial Studies and Business Analytics, Australia","Macquarie University - Department of Actuarial Studies and Business Analytics"],"raw_orcid":"https://orcid.org/0000-0001-8104-8716","affiliations":[{"raw_affiliation_string":"Macquarie University - Department of Actuarial Studies and Business Analytics, Australia","institution_ids":["https://openalex.org/I99043593"]},{"raw_affiliation_string":"Macquarie University - Department of Actuarial Studies and Business Analytics","institution_ids":["https://openalex.org/I99043593"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5079843797"],"corresponding_institution_ids":["https://openalex.org/I99043593"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10968","display_name":"Statistical Distribution Estimation and Applications","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/lee-carter-model","display_name":"Lee-Carter model","score":0.8629999756813049},{"id":"https://openalex.org/keywords/state-space-models","display_name":"state-space model","score":0.7310000061988831},{"id":"https://openalex.org/keywords/mortality-forecasting","display_name":"mortality forecasting","score":0.6589999794960022},{"id":"https://openalex.org/keywords/annuity-pricing","display_name":"annuity pricing","score":0.8420000076293945},{"id":"https://openalex.org/keywords/longevity-risk","display_name":"longevity risk","score":0.9919999837875366},{"id":"https://openalex.org/keywords/life-annuities","display_name":"life annuities","score":0.7570000290870667},{"id":"https://openalex.org/keywords/gibbs-sampling","display_name":"Gibbs sampling","score":0.6650000214576721},{"id":"https://openalex.org/keywords/stochastic-mortality","display_name":"stochastic mortality","score":0.5600000023841858},{"id":"https://openalex.org/keywords/posterior-distribution","display_name":"posterior distribution","score":0.5},{"id":"https://openalex.org/keywords/actuarial-models","display_name":"actuarial modeling","score":0.4620000123977661}],"concepts":[{"id":"https://openalex.org/C44465351","wikidata":"https://www.wikidata.org/wiki/Q215579","display_name":"Annuity","level":4,"score":0.8645427227020264},{"id":"https://openalex.org/C2781386606","wikidata":"https://www.wikidata.org/wiki/Q6673769","display_name":"Longevity risk","level":3,"score":0.8295378684997559},{"id":"https://openalex.org/C133925201","wikidata":"https://www.wikidata.org/wiki/Q188419","display_name":"Life expectancy","level":3,"score":0.7997592687606812},{"id":"https://openalex.org/C76485209","wikidata":"https://www.wikidata.org/wiki/Q2510714","display_name":"Life annuity","level":3,"score":0.7628970742225647},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.6250913143157959},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5795407891273499},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.576533317565918},{"id":"https://openalex.org/C145097563","wikidata":"https://www.wikidata.org/wiki/Q1148747","display_name":"Payment","level":2,"score":0.4838806390762329},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4414488971233368},{"id":"https://openalex.org/C179755657","wikidata":"https://www.wikidata.org/wiki/Q58702","display_name":"Mortality rate","level":2,"score":0.43696269392967224},{"id":"https://openalex.org/C2780899237","wikidata":"https://www.wikidata.org/wiki/Q156223","display_name":"Pension","level":2,"score":0.2404661774635315},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.17133048176765442},{"id":"https://openalex.org/C149923435","wikidata":"https://www.wikidata.org/wiki/Q37732","display_name":"Demography","level":1,"score":0.16526108980178833},{"id":"https://openalex.org/C2908647359","wikidata":"https://www.wikidata.org/wiki/Q2625603","display_name":"Population","level":2,"score":0.11574628949165344},{"id":"https://openalex.org/C144024400","wikidata":"https://www.wikidata.org/wiki/Q21201","display_name":"Sociology","level":0,"score":0.0659208595752716},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2139/ssrn.2699624","doi":"https://doi.org/10.2139/ssrn.2699624","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2699624","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"}],"best_oa_location":{"id":"doi:10.2139/ssrn.2699624","doi":"https://doi.org/10.2139/ssrn.2699624","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2699624","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W57879723","https://openalex.org/W186039566","https://openalex.org/W398005362","https://openalex.org/W1480195062","https://openalex.org/W1703875447","https://openalex.org/W1969498530","https://openalex.org/W1985805839","https://openalex.org/W2041385333","https://openalex.org/W2101518413","https://openalex.org/W2109915710","https://openalex.org/W2121448470","https://openalex.org/W2158712340","https://openalex.org/W2297405967","https://openalex.org/W2321899211","https://openalex.org/W3123486469","https://openalex.org/W3212026773","https://openalex.org/W4229764792","https://openalex.org/W4233116977","https://openalex.org/W4240317462"],"related_works":["https://openalex.org/W2924893116","https://openalex.org/W4391698061","https://openalex.org/W7097327734","https://openalex.org/W64536591","https://openalex.org/W2394942816","https://openalex.org/W7042757151","https://openalex.org/W1996442641","https://openalex.org/W6945184473","https://openalex.org/W2980583628","https://openalex.org/W7110490468"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":3},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":1}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}
