Mortality Leads and Lags

Andreas Milidonis () and Maria Efthymiou
Authors registered in the RePEc Author Service: Marco Morales and David Blake

Journal of Risk & Insurance, 2017, vol. 84, issue S1, 495-514

Abstract: 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 lead–lag 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.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/jori.12187

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:495-514

Ordering information: This journal article can be ordered from
http://www.wiley.com/bw/subs.asp?ref=0022-4367

Access Statistics for this article

Journal of Risk & Insurance is currently edited by Joan T. Schmit

More articles in Journal of Risk & Insurance from The American Risk and Insurance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().