Forecasting mortality rates with a general stochastic mortality trend model

Year 2020, Volume: 69 Issue: 1, 910 - 928, 30.06.2020

Etkin Hasgül A. Sevtap Selcuk-kestel Yeliz Yolcu Okur

https://doi.org/10.31801/cfsuasmas.478265

Abstract

This paper presents a model, which can closely estimate the future mortality rates whose efficiency is performed through the comparisons with respect to Lee-Carter and mortality trend models. This general model estimates the logit function of death rate in terms of general tendency of the mortality evolution independent of age, the mortality steepness, additional effects of childhood, youth and old age. Generalized linear model (GLM) is used to estimate the parameters. Moreover, the weighted least square (WLS) and random walk with drift (RWWD) methods are employed to project the future values of the parameters. In order to ensure the stability of the outputs and construct the confidence intervals, Monte Carlo simulation is used. The impact of the proposed model is implemented on USA, France, Italy, Japan and Israel mortality rates for both genders based on their ageing structure. A detailed comparison study is performed to illustrate modified mortality rates on the net single premiums over mortality trend model and Lee-Carter model.

Keywords

Mortality trend model, Lee-Carter, GLM, Simulation, Random Walk, Weighted least squares

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