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Title of article :
A Poisson log-bilinear regression approach to the construction of projected lifetables
Author/Authors :
Brouhns، نويسنده , , Natacha and Denuit، نويسنده , , Michel and Vermunt، نويسنده , , Jeroen K.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2002
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Abstract :
This paper implements Wilmoth’s [Computational methods for fitting and extrapolating the Lee–Carter model of mortality change, Technical report, Department of Demography, University of California, Berkeley] and Alho’s [North American Actuarial Journal 4 (2000) 91] recommendation for improving the Lee–Carter approach to the forecasting of demographic components. Specifically, the original method is embedded in a Poisson regression model, which is perfectly suited for age–sex-specific mortality rates. This model is fitted for each sex to a set of age-specific Belgian death rates. A time-varying index of mortality is forecasted in an ARIMA framework. These forecasts are used to generate projected age-specific mortality rates, life expectancies and life annuities net single premiums. Finally, a Brass-type relational model is proposed to adapt the projections to the annuitants population, allowing for estimating the cost of adverse selection in the Belgian whole life annuity market.
Keywords :
Age–sex-specific mortality , Annuities , life insurance , Adverse Selection , Lifetable functions
Journal title :
Insurance Mathematics and Economics
Link To Document :