Credible Regression Approaches to Forecast Mortality for Populations with Limited Data

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, 2019, vol. 7, issue 1, 1-22

Abstract: In this paper, we propose a credible regression approach with random coefficients to model and forecast the mortality dynamics of a given population with limited data. Age-specific mortality rates are modelled and extrapolation methods are utilized to estimate future mortality rates. The results on Greek mortality data indicate that credibility regression contributed to more accurate forecasts than those produced from the Lee–Carter and Cairns–Blake–Dowd models. An application on pricing insurance-related products is also provided.

Keywords: credible regression approach; random coefficients; Lee–Carter model; CBD model (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:7:y:2019:i:1:p:27-:d:209273

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