Prospective mortality tables: Taking heterogeneity into account

Julien Tomas and Frédéric Planchet ()

Insurance: Mathematics and Economics, 2015, vol. 63, issue C, 169-190

Abstract: The present article illustrates an approach to construct prospective mortality tables for which the data available are composed by heterogeneous groups observed during different periods. Without explicit consideration of heterogeneity, it is necessary to reduce the period of observation at the intersection of the different populations observation periods. This reduction of the available history can arm the determination of the mortality trend and its extrapolation. We propose a model taking explicitly into account the heterogeneity, so as to preserve the entire history available for all populations. We use local kernel-weighted log-likelihood techniques to graduate the observed mortality. The extrapolation of the smoothed surface is performed by identifying the mortality components and their importance over time using singular values decomposition. Then time series methods are used to extrapolate the time-varying coefficients. We investigate the divergences in the mortality surfaces generated by a number of previously proposed models on three levels. These concern the proximity between the observations and the model, the regularity of the fit as well as the plausibility and consistency of the mortality trends.

Keywords: Heterogeneity; Prospective mortality table; Local likelihood; Singular values decomposition; Cox model; Relational models; Life insurance; Hétérogénéité; Table de mortalité prospective; Vraisemblance locale; Décomposition en valeurs singulières; Modèle de Cox; Modèles relationnels; Assurance vie (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:63:y:2015:i:c:p:169-190

DOI: 10.1016/j.insmatheco.2015.03.020

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