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A cohort-based extension to the Lee-Carter model for mortality reduction factors. (English) Zbl 1168.91418
Summary: The Lee-Carter modelling framework is extended through the introduction of a wider class of generalized, parametric, nonlinear models. This permits the modelling and extrapolation of age-specific cohort effects as well as the more familiar age-specific period effects. The choice of error distribution is generalized.

91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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