Producing the Dutch and Belgian mortality projections: A stochastic multi-population standard

Katrien Antonio, Sander Devriendt, Wouter de Boer, Robert de Vries, Anja De Waegenaere (), Hok-Kwan Kan, Egbert Kromme, Wilbert Ouburg, Tim Schulteis, Erica Slagter, Michel Vellekoop, Marco van der Winden and Corné van Iersel

No 554572, Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven from KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven

Abstract: The quantification of longevity risk in a systematic way requires statistically sound forecasts of mortality rates and their corresponding uncertainty. Actuarial associations have a long history and continue to play an important role in the development, application and dispersion of mortality projections for the countries they represent. This paper gives an in depth presentation and discussion of the mortality projections as published by the Dutch (in 2014) and Belgian (in 2015) actuarial associations. The goal of these institutions was to publish a stochastic mortality projection model in line with both rigorous standards of state-of-the art academic work as well as the requirements of practical work such as robustness and transparency. Constructed by a team of authors from both academia and practice, the developed mortality projection standard is a Li & Lee type multi-population model. To project mortality, a global Western European trend and a country-specific deviation from this trend are jointly modelled with a bivariate time series model. We motivate and document all choices made in the model specification, calibration and forecasting process as well as the model selection strategy. We show the model fit and mortality projections and illustrate the use of the model in several pension-related applications.

Keywords: stochastic mortality models; projected mortality; stochastic multi-population mortality; Li & Lee model; Lee & Carter model; Poisson regression; pension calculations; longevity risk; professional actuarial associations (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-age, nep-hea and nep-rmg
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Published in FEB Research Report AFI_16111 , pages 1-33

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