Centro de Documentación de Fundación MAPFRE - Exchangeable mortality projection

MAP20220007160

Exchangeable mortality projection / Vered Shapovalov, Zinoviy Landsman, Udi Makov

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.

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Número 1 - junio 2021 , 113-133

1. Mortalidad . 2. Proyecciones demográficas . 3. Modelos de simulación . 4. Cálculo actuarial . I. Landsman, Zinoviy . II. Makov, Udi E. . III. Title.