Explaining young mortality

O'Hare, Colin; O’Hare, Colin; Li, Youwei

Abstract

Stochastic modeling of mortality rates focuses on fitting linear models to logarithmically adjusted mortality data from the middle or late ages. Whilst this modeling enables insurers to project mortality rates and hence price mortality products it does not provide good fit for younger aged mortality. Mortality rates below the early 20’s are important to model as they give an insight into estimates of the cohort effect for more recent years of birth. It is also important given the cumulative nature of life expectancy to be able to forecast mortality improvements at all ages. When we attempt to fit existing models to a wider age range, 5–89, rather than 20–89 or 50–89, their weaknesses are revealed as the results are not satisfactory. The linear innovations in existing models are not flexible enough to capture the non-linear profile of mortality rates that we see at the lower ages. In this paper, we modify an existing 4 factor model of mortality to enable better fitting to a wider age range, and using data from seven developed countries our empirical results show that the proposed model has a better fit to the actual data, is robust, and has good forecasting ability.

Citation

O'Hare, C., O’Hare, C., & Li, Y. (2012). Explaining young mortality. Insurance: Mathematics and Economics, 50(1), 12-25. https://doi.org/10.1016/j.insmatheco.2011.09.005

• Journal Article Type: Article
• Acceptance Date: Sep 28, 2011
• Online Publication Date: Oct 10, 2011
• Publication Date: 2012-01
• Deposit Date: Mar 19, 2019
• Publicly Available Date: Aug 11, 2020
• Journal: Insurance: Mathematics and Economics
• Print ISSN: 0167-6687
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 50
• Issue: 1
• Pages: 12-25
• DOI: https://doi.org/10.1016/j.insmatheco.2011.09.005
• Keywords: Mortality; Stochastic models; Forecasting; Non-linearity
• Public URL: https://hull-repository.worktribe.com/output/1113345
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S0167668711000990?via%3Dihub
• Related Public URLs: https://pure.qub.ac.uk/en/publications/explaining-young-mortality