Multi-population mortality modeling with Lévy processes

Petar Jevtić (), Chengwei Qin () and Hongjuan Zhou ()
Additional contact information
Petar Jevtić: Arizona State University
Chengwei Qin: Oanda Corporation
Hongjuan Zhou: Arizona State University

Decisions in Economics and Finance, 2023, vol. 46, issue 2, No 10, 583-609

Abstract: Abstract This paper constructs a theoretical framework for multi-population mortality modeling via generalized linear models and Lévy stochastic perturbations driven by a common Brownian motion and idiosyncratic factors to capture the mortality shocks. By having Lévy stochastic perturbations, our model admits various jump types, which is increasingly important for capturing mortality shocks such as pandemics, particularly when they affect various populations differently. At the same time, the proposed model allows a novel dependence structure of multiple populations, which is essential when it comes to the development of multi-population or joint-life products in the context of mortality shocks. In our empirical investigations, the mortality experiences of male and female lives in the UK and Japan are used. Compared with pure Poisson-generalized linear models, the proposed multi-population model shows superiority in predicting future mortality rates.

Keywords: Multi-population mortality model; Generalized linear models; Lévy process (search for similar items in EconPapers)
JEL-codes: C13 C38 G22 J11 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10203-023-00400-6

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