Mortality models and longevity risk for small populations

Hsin-Chung Wang, Ching-Syang Jack Yue and Chen-Tai Chong

Insurance: Mathematics and Economics, 2018, vol. 78, issue C, 351-359

Abstract: Prolonging life expectancy and improving mortality rates is a common trend of the 21st century. Stochastic models, such as Lee–Carter model (Lee and Carter, 1992), are a popular choice to deal with longevity risk. However, these mortality models often have unsatisfactory results for the case of small populations. Thus, quite a few modifications (such as approximation and maximal likelihood estimation) to the Lee–Carter can be used for the case of small populations or missing observations. In this study, we propose an alternative approach (graduation methods) to improve the performance of stochastic models.

Keywords: Longevity risk; Small area estimation; Lee–Carter model; Standard mortality ratio; Graduation (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:78:y:2018:i:c:p:351-359

DOI: 10.1016/j.insmatheco.2017.09.020

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