An Empirical Study on Stochastic Mortality Modelling under the Age-Period-Cohort Framework: The Case of Greece with Applications to Insurance Pricing

Apostolos Bozikas and Georgios Pitselis
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Apostolos Bozikas: Department of Statistics and Insurance Science, University of Piraeus, 18534 Piraeus, Greece
Georgios Pitselis: Department of Statistics and Insurance Science, University of Piraeus, 18534 Piraeus, Greece

Risks, 2018, vol. 6, issue 2, 1-34

Abstract: During the last decades, life expectancy has risen significantly in the most developed countries all over the world. Greece is a case in point; consequently, higher governmental financial responsibilities occur as well as serious concerns are raised owing to population ageing. To address this issue, an efficient forecasting method is required. Therefore, the most important stochastic models were comparatively applied to Greek data for the first time. An analysis of their fitting behaviour by gender was conducted and the corresponding forecasting results were evaluated. In particular, we incorporated the Greek population data into seven stochastic mortality models under a common age-period-cohort framework. The fitting performance of each model was thoroughly evaluated based on information criteria values as well as the likelihood ratio test and their robustness to period changes was investigated. In addition, parameter risk in forecasts was assessed by employing bootstrapping techniques. For completeness, projection results for both genders were also illustrated in pricing insurance-related products.

Keywords: stochastic mortality modelling; age-period-cohort models; mortality projection; Greece (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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