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A comparative study of parametric mortality projection models

Butt, Z. and Haberman, S. (2010). A comparative study of parametric mortality projection models (Report No. Actuarial Research Paper No. 196). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Abstract

The relative merits of different parametric models for making life expectancy and annuity value predictions at both pensioner and adult ages are investigated. This study builds on current published research and considers recent model enhancements and the extent to which these enhancements address the deficiencies that have been identified of some of the models. The England & Wales male mortality experience is used to conduct detailed comparisons at pensioner ages, having first established a common basis for comparison across all models. The model comparison is then extended to include the England & Wales female experience and both the male and female USA mortality experiences over a wider age range, encompassing also the working ages.

Publication Type: Monograph (Working Paper)
Publisher Keywords: Mortality forecasting, binomial response models, age-period effects, age-periodcohort effects, forecast statistics, model and forecast comparison, back-fitting
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Actuarial Science & Insurance > Actuarial Research Reports
URI: http://openaccess.city.ac.uk/id/eprint/2327
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