A Multivariate Approach to Project the Long Run Relationship Between Mortality Indices for Canadian Provinces

Achille Ntamjokouen (), Steven Haberman () and Giorgio Consigli ()
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Achille Ntamjokouen: University of Bergamo
Steven Haberman: City University London, Cass Business School
Giorgio Consigli: University of Bergamo

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 153-161 from Springer

Abstract: Abstract The cointegration approach is proposed to model cross-province mortality indices within Canada. We apply and compare the vector autoregressive model (VAR) and the vector of error correction model (VECM) derived from cointegrated models for males and females. Relying on the Johansen cointegration test, the analysis shows clearly that there is a dependence among provincial mortality indices. The two models fit well the females data. However, poor performance has been revealed for men beyond 10 years horizons. We project the mortality indices from both models and compute the annuity from the forecasts. We project the mortality indices from both models and compute the annuity from the forecasts.

Keywords: Mortality indices; VAR; VECM; Pricing by cohorts (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_36

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DOI: 10.1007/978-3-319-05014-0_36

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