Bootstrapping Parametric Models of Mortality

Grzegorz A. Rempala and Konrad Szatzschneider

Scandinavian Actuarial Journal, 2004, vol. 2004, issue 1, 53-78

Abstract: We consider a general problem of modeling a mortality law of a population of failing units with some parametric function. In this setting we define a mortality table of crude rates as a statistical estimator with multinomial distribution and show its consistency as well as asymptotic normality. We further derive the statistical properties of parameter estimators in a parametric mortality model based on a weighted square loss function. We use the obtained results to study consistency and appropriateness of the parametric bootstrap method in our setting. We derive the conditions on the assumed parametric mortality law and the loss function, under which the bootstrap is consistent for estimating the model parameters, their standard errors and corresponding confidence intervals. We apply our results to a model of Aggregate US Mortality Table based on a so called mixture of extreme value distributions suggested by Carriere (1992).

Date: 2004
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DOI: 10.1080/03461230110106499

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