Artikel
Common factor cause-specific mortality model
Recent pension reforms in Europe have implemented a link between retirement age and life expectancy. The accurate forecast of life tables and life expectancy is hence paramount for governmental policy and financial institutions. We developed a multi-population mortality model which includes a cause-specific environment using Archimedean copulae to model dependence between various groups of causes of death. For this, Dutch data on cause-of-death mortality and cause-specific mortality data from 14 comparable European countries were used. We find that the inclusion of a common factor to a cause-specific mortality context increases the robustness of the forecast and we underline that cause-specific mortality forecasts foresee a more pessimistic mortality future than general mortality models. Overall, we find that this non-trivial extension is robust to the copula specification for commonly chosen dependence parameters.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 9 ; Year: 2021 ; Issue: 12 ; Pages: 1-30 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
mortality
cause of death
common factor
Archimedean copula
population dynamics
- Ereignis
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Geistige Schöpfung
- (wer)
-
Zittersteyn, Geert
Alonso-García, Jennifer
- Ereignis
-
Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
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2021
- DOI
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doi:10.3390/risks9120221
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Zittersteyn, Geert
- Alonso-García, Jennifer
- MDPI
Entstanden
- 2021
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