Common Factor Cause-Specific Mortality Model

Geert Zittersteyn and Jennifer Alonso-García
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Geert Zittersteyn: ILX, Linnaeusstraat 2A, 1092 CK Amsterdam, The Netherlands
Jennifer Alonso-García: Department of Mathematics, Université Libre de Bruxelles, Boulevard du Triomphe, B-1050 Bruxelles, Belgium

Risks, 2021, vol. 9, issue 12, 1-30

Abstract: Recent pension reforms in Europe have implemented a link between retirement age and life expectancy. The accurate forecast of life tables and life expectancy is hence paramount for governmental policy and financial institutions. We developed a multi-population mortality model which includes a cause-specific environment using Archimedean copulae to model dependence between various groups of causes of death. For this, Dutch data on cause-of-death mortality and cause-specific mortality data from 14 comparable European countries were used. We find that the inclusion of a common factor to a cause-specific mortality context increases the robustness of the forecast and we underline that cause-specific mortality forecasts foresee a more pessimistic mortality future than general mortality models. Overall, we find that this non-trivial extension is robust to the copula specification for commonly chosen dependence parameters.

Keywords: mortality; cause of death; common factor; Archimedean copula; population dynamics (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2021
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