Mortality leads and lags

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Milidonis, Andreas

Mortality leads and lags / Andreas Milidonis, Maria Efthymiou

Sumario: Mortality risk varies geographically, especially in the Asia-Pacific (APAC) region, where economic development is quite diverse. We present a newly collected data set on aggregate population mortality from 11 countries in APAC, which we rank based on their economic development. Using leadlag analysis, we identify short-term predictability in mortality risk across countries. Mortality improvements seem to appear faster in more developed than less developed countries. Such predictability is useful for longevity risk financing and in producing cross-country mortality indices. We propose ways in which our results can benefit institutions manage their exposure in APAC mortality and longevity risk.

En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 03/04/2017 Volumen 84 Número S1 - abril 2017 , p. 495-514

1. Mortalidad . 2. Análisis de riesgos . 3. Gerencia de riesgos . I. Título.