Centro de Documentacion de Fundación MAPFRE - A Double common factor model for mortality projection using best-performance mortality rates as reference

MAP20210027239

A Double common factor model for mortality projection using best-performance mortality rates as reference / Jackie Li, Maggie Lee, Simon Guthrie

Sumario: We construct a double common factor model for projecting the mortality of a population using as a reference the minimum death rate at each age among a large number of countries. In particular, the female and male minimum death rates, described as best-performance or best-practice rates, are first modelled by a common factor model structure with both common and sex-specific parameters. The differences between the death rates of the population under study and the best-performance rates are then modelled by another common factor model structure. An important result of using our proposed model is that the projected death rates of the population being considered are coherent with the projected best-performance rates in the long term, the latter of which serves as a very useful reference for the projection based on the collective experience of multiple countries. Our out-of-sample analysis shows that the new model has potential to outperform some conventional approaches in mortality projection

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 10/05/2021 Volumen 51 Número 2 - mayo 2021 , p. 349-374

1. Mortalidad . 2. Proyecciones . 3. Cálculo actuarial . I. Lee, Maggie . II. Guthrie, Simon . III. Título.