3 research outputs found
Bayesian Poisson log-bilinear models for mortality projections with multiple populations - Online appendix
In this paper we present a detailed outline of the posterior distributions for the LL model, as
described by Antonio et al. (2015). Moreover, we illustrate the convergence of the Markov
Chain Monte Carlo ([MCMC]) updating scheme used by Antonio et al. (2015).status: publishe
Producing the Dutch and Belgian mortality projections: A stochastic multi-population standard
The quantification of longevity risk in a systematic way requires statistically sound forecasts of mortality rates and their corresponding uncertainty. Actuarial associations have a long history and continue to play an important role in the development, application and dispersion of mortality projections for the countries they represent. This paper gives an in depth presentation and discussion of the mortality projections as published by the Dutch (in 2014)
and Belgian (in 2015) actuarial associations. The goal of these institutions was to publish a stochastic mortality projection model in line with both rigorous standards of state-of-the art academic work as well as the requirements of practical work such as robustness and transparency. Constructed by a team of authors from both academia and practice, the developed mortality projection standard is a Li & Lee type multi-population model. To project mortality, a global Western European trend and a country-specific deviation from this trend are jointly modelled with a bivariate time series model. We motivate and document
all choices made in the model specification, calibration and forecasting process as well as the model selection strategy. We show the model fit and mortality projections and illustrate the use of the model in several pension-related applications.status: publishe