Modelling life tables with advanced ages: An extreme value theory approach

Fei Huang, Ross Maller and Xu Ning

Insurance: Mathematics and Economics, 2020, vol. 93, issue C, 95-115

Abstract: We propose a new model – we call it a smoothed threshold life table (STLT) model – to generate life tables incorporating information on advanced ages. Our method allows a smooth mortality transition from non-extreme to extreme ages, and provides objectively determined highest attained ages with which to close the life table.

Keywords: Advanced age mortality; Extreme value theory; Generalised Pareto distribution; Gompertz model; Life table (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:93:y:2020:i:c:p:95-115

DOI: 10.1016/j.insmatheco.2020.04.004

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