Centro de Documentacion de Fundación MAPFRE - Exchangeable mortality projection

Notes: Sumario: In this study we derive a novel multi-population Lee-Carter type model. Specifically, we extend the Bayesian model in Czado et al. (Insur Math Econ 36:260284, 2005) to allow exchangeability between parameters of a group of m populations. In a validation-based examination, the proposed model is found to be beneficial for several examined countries. Also, we examine changes in forecasting ability due to varying calibration periods. Our results suggest that mortality rates from a distant past are inferior to those from a more recent past.

Related records: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Volúmen 11 - Número 1 - junio 2021 , 113-133Materia / lugar / evento: Mortalidad Proyecciones demográficas Modelos de simulación Cálculo actuarial Otros autores: Landsman, Zinoviy
Makov, Udi E.
Other categories: 6

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