scholarly journals A Quantitative Comparison of Multiple Population Mortality Model on Some East Asian Countries and Regions

2020 ◽  
Vol 2020 ◽  
pp. 1-8
Author(s):  
Ming Zhao ◽  
Xiaojun Wang ◽  
Yu Liu ◽  
Jiali Shen
Keyword(s):  
Mainland China ◽  
Population Group ◽  
Stochastic Mortality ◽  
Mortality Model ◽  
Time Period ◽  
Mortality Ratio ◽  
Multiple Population ◽  
Set Up ◽  
Population Mortality ◽  
Stochastic Mortality Model

This paper reviews the progress of the multiple population mortality model and the defects in parameter estimation and proposes an effective method to improve the performance of the mortality model. We set up a multiple population group, using the data of mainland China, Hong Kong (China), and Japan, to test fitting performance and forecasting performance. Using the TSWLS and TSSVD methods in a multiple population stochastic mortality model has advantages in fitting performance and robustness. In addition, the forecasting value of mortality ratio between any two populations can converge to a fixed constant in a certain time period which obeys the regular of human biological characteristics.

Pricing longevity-linked derivatives using a stochastic mortality model

2019 ◽  
Vol 48 (24) ◽  
pp. 5923-5942
Author(s):  
Yige Wang ◽  
Nan Zhang ◽  
Zhuo Jin ◽  
Tin Long Ho
Keyword(s):  
Stochastic Mortality ◽  
Mortality Model ◽  
Stochastic Mortality Model

scholarly journals A Square-Root Factor-Based Multi-Population Extension of the Mortality Laws

Mathematics ◽  
2021 ◽  
Vol 9 (19) ◽  
pp. 2402
Author(s):  
Petar Jevtić ◽  
Luca Regis
Keyword(s):  
Maximum Likelihood ◽  
Model Parameters ◽  
Time Varying ◽  
Square Root ◽  
Stochastic Mortality ◽  
Mortality Model ◽  
Model Based ◽  
Males And Females ◽  
Quasi Maximum Likelihood ◽  
Stochastic Mortality Model

In this paper, we present and calibrate a multi-population stochastic mortality model based on latent square-root affine factors of the Cox-Ingersoll and Ross type. The model considers a generalization of the traditional actuarial mortality laws to a stochastic, multi-population and time-varying setting. We calibrate the model to fit the mortality dynamics of UK males and females over the last 50 years. We estimate the optimal states and model parameters using quasi-maximum likelihood techniques.

scholarly journals Comparison of Stochastic Mortality Model for Wider Age Range

MATEMATIKA ◽  
2018 ◽  
Vol 34 (2) ◽  
pp. 227-233
Author(s):  
Siti Rohani Mohd Nor ◽  
Fadhilah Yusof ◽  
Arifah Bahar
Keyword(s):  
Risk Exposure ◽  
Longevity Risk ◽  
Model Structure ◽  
Research Directions ◽  
Linear Pattern ◽  
Stochastic Mortality ◽  
Mortality Model ◽  
New Research ◽  
Age Range ◽  
Stochastic Mortality Model

The incorporation of non-linear pattern of early ages has opened new research directions on improving the existing stochastic mortality model structure. Several authors have outlined the importance of encompassing the full age range in dealing with longevity risk exposure by not to ignore the dependence between young and old age. In this study, we consider the two extensions of Cairns, Blake and Dowd model that incorporate the irregularity profile seen at the mortality of lower ages which are Plat and O’Hare and Li. The models’ performances in terms of in-sample fitting and out-sample forecasts were examined and compared. The results indicated that O’Hare and Li model performs better as compared to Plat model

scholarly journals A Bayesian approach to developing a stochastic mortality model for China

2019 ◽  
Vol 182 (4) ◽  
pp. 1523-1560
Author(s):  
Johnny Siu‐Hang Li ◽  
Kenneth Q. Zhou ◽  
Xiaobai Zhu ◽  
Wai‐Sum Chan ◽  
Felix Wai‐Hon Chan
Keyword(s):  
Bayesian Approach ◽  
Stochastic Mortality ◽  
Mortality Model ◽  
Stochastic Mortality Model

Mortality and smoking prevalence: An empirical investigation in ten developed countries

2013 ◽  
Vol 18 (2) ◽  
pp. 452-466 ◽  
Author(s):  
Torsten Kleinow ◽  
Andrew J.G. Cairns
Keyword(s):  
Smoking Prevalence ◽  
Empirical Investigation ◽  
Developed Countries ◽  
Mortality Rates ◽  
Mortality Data ◽  
Death Rates ◽  
Stochastic Mortality ◽  
Mortality Model ◽  
Stochastic Mortality Model ◽  
Country Specific

AbstractWe investigate the link between death rates and smoking prevalence in ten developed countries with the aim of using smoking prevalence data to explain differences in country-specific death rates. A particular problem in building a stochastic mortality model based on smoking prevalence is that there are in general no separate mortality data for smokers and non-smokers available. We show how we can estimate mortality rates for smokers and non-smokers using information about the smoking prevalence in a number of developed countries, and making an additional assumption about the death rates of smokers. We consider this empirical investigation to be the first step towards a consistent mortality model for multiple populations, which will require modelling of country specific differences in mortality, as well as non-smokers’ and smokers’ mortality rates.

scholarly journals The New Fertility Policy and the Actuarial Balance of China Urban Employee Basic Endowment Insurance Fund Based on Stochastic Mortality Model

2020 ◽  
Vol 2020 ◽  
pp. 1-12
Author(s):  
Yuantao Xie ◽  
Xinzhu Zhang ◽  
Huijuan Lv ◽  
Xiaojing Guo
Keyword(s):  
Growth Rate ◽  
Social Factors ◽  
Insurance Fund ◽  
Endowment Insurance ◽  
Stochastic Mortality ◽  
Mortality Model ◽  
Fertility Policy ◽  
Basic Endowment Insurance ◽  
Stochastic Mortality Model ◽  
The Impact

This study aims to investigate the impact of China’s new fertility policy on the actuarial balance of its Urban Employee Basic Endowment Insurance (UEBEI) fund, with stochastic mortality model included to address the longevity risk. Combined with the latest UEBEI policy, this paper constructs an actuarial balance model and introduces the growth rate of wage, the age of employment and the age of retirement, the rate of payment, the rate of replacement, the annual rate of pension adjustment, and the population in terms of age into the model, which arise from the rate of payment, average wage, and personal and social factors. This study uses the sixth population census data by age group and gender to employ empirical analysis. The sensitivity analysis of China’s basic pension insurance fund balance is made. It is concluded that the increase in the growth rate of wage caused by social factors, the increase of fund investment returns, the delay of retirement, and the increase in the fund collection rate are all conducive to the sustainability of the UEBEI fund.

scholarly journals A Two-Population Mortality Model to Assess Longevity Basis Risk

Risks ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 44
Author(s):  
Selin Özen ◽  
Şule Şahin
Keyword(s):  
Risk Reduction ◽  
Significant Risk ◽  
Reference Population ◽  
Mortality Data ◽  
Basis Risk ◽  
Mortality Model ◽  
Proposed Model ◽  
Population Mortality ◽  
Mortality Jumps ◽  
The Impact

Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate two-population model to measure and assess longevity basis risk is required. In this paper, we aim to construct a two-population mortality model to provide an effective hedge against the basis risk. The reference population is modelled by using the Lee–Carter model with the renewal process and exponential jumps, and the dynamics of the book population are specified. The analysis based on the U.K. mortality data indicate that the proposed model for the reference population and the common age effect model for the book population provide a better fit compared to the other models considered in the paper. Different two-population models are used to investigate the impact of sampling risk on the index-based hedge, as well as to analyse the risk reduction regarding hedge effectiveness. The results show that the proposed model provides a significant risk reduction when mortality jumps and sampling risk are taken into account.

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