A common age effect model for the mortality of multiple populations

Torsten Kleinow

Insurance: Mathematics and Economics, 2015, vol. 63, issue C, 147-152

Abstract: We introduce a model for the mortality rates of multiple populations. To build the proposed model we investigate to what extent a common age effect can be found among the mortality experiences of several countries and use a common principal component analysis to estimate a common age effect in an age–period model for multiple populations. The fit of the proposed model is then compared to age–period models fitted to each country individually, and to the fit of the model proposed by Li and Lee (2005).

Keywords: Mortality of multiple populations; Stochastic mortality model; Longevity; Basis risk; Common age effect (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:63:y:2015:i:c:p:147-152

DOI: 10.1016/j.insmatheco.2015.03.023

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