Hostname: page-component-8448b6f56d-mp689 Total loading time: 0 Render date: 2024-04-25T05:54:54.768Z Has data issue: false hasContentIssue false
  • English
  • Français

A quantitative comparison of simulation strategies for mortality projection

Published online by Cambridge University Press:  26 August 2014

Jackie Li
Jackie Li*
Affiliation:
Curtin University, Australia
*
*Correspondence to: Jackie Li, Department of Mathematics & Statistics, GPO Box U1987 Perth, 6845 Western Australia. Tel: +618 92667171; Fax: +618 92663197. E-mail: jackie@actuarialworkshop.com
Get access Rights & Permissions [Opens in a new window]

Abstract

We compare quantitatively six simulation strategies for mortality projection with the Poisson Lee–Carter model. We test these strategies on New Zealand mortality data and discuss the simulated results of the mortality index, death rates, and life expectancy.

Keywords

simulation methodsmortality projectionPoisson Lee-Carter model
Type
Papers
Information
Annals of Actuarial Science , Volume 8 , Issue 2 , September 2014 , pp. 281 - 297
Copyright
© Institute and Faculty of Actuaries 2014 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Australian Prudential Regulation Authority. (2013). Prudential Standard GPS 320. Available online at the address http://www.apra.gov.au/GI/PrudentialFramework/Documents/GPS-320-Actuarial-and-Related-Matters-January-2013.pdf (accessed 18 March 2014).Google Scholar
Booth, H., Maindonald, J. & Smith, L. (2002). Applying Lee-Carter under conditions of variable mortality decline. Population Studies, 56, 325–336.Google Scholar
Brouhns, N., Denuit, M. & Van Keilegom, I. (2005). Bootstrapping the Poisson log-bilinear model for mortality forecasting. Scandinavian Actuarial Journal, 3, 212–224.Google Scholar
Brouhns, N., Denuit, M. & Vermunt, J.K. (2002a). A Poisson log-bilinear regression approach to the construction of projected lifetables. Insurance: Mathematics and Economics, 31, 373–393.Google Scholar
Brouhns, N., Denuit, M. & Vermunt, J.K. (2002b). Measuring the longevity risk in mortality projections. Bulletin of the Swiss Association of Actuaries, 105–130.Google Scholar
Cairns, A.J.G. (2000). A discussion of parameter and model uncertainty in insurance. Insurance: Mathematics and Economics, 27, 313–330.Google Scholar
CEIOPS. (2010). QIS5 technical specifications. Available online at the address http://ec.europa.eu/internal_market/insurance/docs/solvency/qis5/201007/technical_specifications_en.pdf (accessed 18 March 2014).Google Scholar
Coale, A. & Guo, G. (1989). Revised regional model life tables at very low levels of mortality. Population Index, 55, 613–643.CrossRefGoogle ScholarPubMed
Czado, C., Delwarde, A. & Denuit, M. (2005). Bayesian Poisson log-bilinear mortality projections. Insurance: Mathematics and Economics, 36, 260–284.Google Scholar
D’Amato, V., Di Lorenzo, E., Haberman, S., Russolillo, M. & Sibillo, M. (2011). The Poisson log-bilinear Lee-Carter model: applications of efficient bootstrap methods to annuity analyses. North American Actuarial Journal, 15(2), 315–333.CrossRefGoogle Scholar
D’Amato, V., Haberman, S., Piscopo, G. & Russolillo, M. (2012). Modelling dependent data for longevity projections. Insurance: Mathematics and Economics, 51, 694–701.Google Scholar
Debón, A., Martínez-Ruiz, F. & Montes, F. (2010). A geostatistical approach for dynamic life tables: the effect of mortality on remaining lifetime and annuities. Insurance: Mathematics and Economics, 47, 327–336.Google Scholar
Debón, A., Montes, F., Mateu, J., Porcu, E. & Bevilacqua, M. (2008). Modelling residuals dependence in dynamic life tables: a geostatistical approach. Computational Statistics and Data Analysis, 52, 3128–3147.Google Scholar
Efron, B. & Tibshirani, R.J. (1993). An Introduction to the Bootstrap. Chapman and Hall, New York.Google Scholar
Human Mortality Database. (2012). Human Mortality Database, University of California, Berkeley,USA and Max Planck Institute for Demographic Research, Germany. Available online at the address www.mortality.org (accessed 3 August 2012).Google Scholar
Kogure, A., Kitsukawa, K. & Kurachi, Y. (2009). A Bayesian comparison of models for changing mortalities toward evaluating longevity risk in Japan. Asia-Pacific Journal of Risk and Insurance, 3(2), 1–21.Google Scholar
Kogure, A. & Kurachi, Y. (2010). A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions. Insurance: Mathematics and Economics, 46, 162–172.Google Scholar
Koissi, M., Shapiro, A.F. & Hognas, G. (2006). Evaluating and extending the Lee-Carter model for mortality forecasting: bootstrap confidence interval. Insurance: Mathematics and Economics, 38, 1–20.Google Scholar
Lee, R. (2000). The Lee-Carter method for forecasting mortality, with various extensions and applications. North American Actuarial Journal, 4(1), 80–93.Google Scholar
Lee, R.D. & Carter, L.R. (1992). Modeling and forecasting U.S. mortality. Journal of the American Statistical Association, 87(419), 659–671.Google Scholar
Li, J. (2010). Projections of New Zealand mortality using the Lee-Carter model and its augmented common factor extension. New Zealand Population Review, 36, 27–53.Google Scholar
Li, J. (2013). A Poisson common factor model for projecting mortality and life expectancy jointly for females and males. Population Studies, 67(1), 111–126.CrossRefGoogle ScholarPubMed
Li, J. (2014). An application of MCMC simulation in mortality projection for populations with limited data. Demographic Research, 30(1), 1–48.Google Scholar
Li, N., Lee, R. & Tuljapurkar, S. (2004). Using the Lee-Carter method to forecast mortality for populations with limited data. International Statistical Review, 72(1), 19–36.CrossRefGoogle Scholar
Renshaw, A.E. & Haberman, S. (2008). On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling. Insurance: Mathematics and Economics, 42, 797–816.Google Scholar
Spiegelhalter, D., Thomas, A., Best, N. & Lunn, D. (2003). WinBUGS user manual. Available online at the address www.mrc-bsu.cam.ac.uk/bugs (accessed 15 January 2009).Google Scholar
Wang, D. & Lu, P. (2005). Modelling and forecasting mortality distributions in England and Wales using the Lee-Carter model. Journal of Applied Statistics, 32(9), 873–885.Google Scholar