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The Modelling of Recent Mortality Trends in United Kingdom Male Assured Lives

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  • Renshaw, A.E.
  • Haberman, S.
  • Hatzopoulos, P.

Abstract

Deaths and exposures by individual calendar year and individual years of age for the U.K. male assured lives experience over the recent past are comprehensively modelled using generalised linear modelling techniques. Our principal objective is to develop a model which incorporates both the age variation in mortality and the underlying time trends in the mortality rates. The approach has considerable advantages over ad hoc methods of fitting parametric models to represent the age variation in mortality and then separately attempting to represent the time trends in the parameters of these models. The approach advocated can be seen as an extension to the conventional parametric graduation techniques used by the CMI Bureau to represent trends in mortality.

Suggested Citation

  • Renshaw, A.E. & Haberman, S. & Hatzopoulos, P., 1996. "The Modelling of Recent Mortality Trends in United Kingdom Male Assured Lives," British Actuarial Journal, Cambridge University Press, vol. 2(2), pages 449-477, June.
    • Handle: RePEc:cup:bracjl:v:2:y:1996:i:02:p:449-477_00
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    Cited by:

    1. Booth, Heather, 2006. "Demographic forecasting: 1980 to 2005 in review," International Journal of Forecasting, Elsevier, vol. 22(3), pages 547-581.
    2. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Estimating the term structure of mortality," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 492-504, April.
    3. Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K., 2002. "A Poisson log-bilinear regression approach to the construction of projected lifetables," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 373-393, December.
    4. Marilena Sibillo & Emilia Di Lorenzo & Gerarda Tessitore, 2006. "A stochastic proportional hazard model for the force of mortality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(7), pages 529-536.
    5. Szymański Andrzej & Rossa Agnieszka, 2021. "The Complex-Number Mortality Model (CNMM) based on orthonormal expansion of membership functions," Statistics in Transition New Series, Polish Statistical Association, vol. 22(3), pages 31-57, September.
    6. Apostolos Bozikas & Ioannis Badounas & Georgios Pitselis, 2022. "Pricing Longevity Bonds under a Credibility Framework with Limited Available Data," Risks, MDPI, vol. 10(5), pages 1-15, May.
    7. Hainaut, Donatien & Denuit, Michel, 2019. "Wavelet-based feature-engineering for mortality projection," LIDAM Discussion Papers ISBA 2019026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Andrzej Szymański & Agnieszka Rossa, 2021. "The Complex-Number Mortality Model (CNMM) based on orthonormal expansion of membership function," Statistics in Transition New Series, Polish Statistical Association, vol. 22(3), pages 31-57, September.
    9. Lin, Yijia & Cox, Samuel H., 2008. "Securitization of catastrophe mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 628-637, April.
    10. Ballotta, Laura & Haberman, Steven, 2006. "The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 195-214, February.
    11. Hua Chen & Samuel H. Cox, 2009. "Modeling Mortality With Jumps: Applications to Mortality Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 727-751, September.
    12. Sithole, Terry Z. & Haberman, Steven & Verrall, Richard J., 2000. "An investigation into parametric models for mortality projections, with applications to immediate annuitants' and life office pensioners' data," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 285-312, December.
    13. Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Lévy CARMA models for shocks in mortality," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 205-227, June.
    14. Tickle Leonie & Booth Heather, 2014. "The Longevity Prospects of Australian Seniors: An Evaluation of Forecast Method and Outcome," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 8(2), pages 1-34, July.
    15. Stone Charles A. & Zissu Anne, 2007. "Managing Viagers Securitization and Life Extension Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(1), pages 1-13, May.
    16. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
    17. Pitacco, Ermanno, 2004. "Survival models in a dynamic context: a survey," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 279-298, October.
    18. Cox, Samuel H. & Lin, Yijia & Pedersen, Hal, 2010. "Mortality risk modeling: Applications to insurance securitization," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 242-253, February.
    19. Hatzopoulos, P. & Haberman, S., 2009. "A parameterized approach to modeling and forecasting mortality," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 103-123, February.
    20. Ahmadi, Seyed Saeed & Gaillardetz, Patrice, 2015. "Modeling mortality and pricing life annuities with Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 337-350.
    21. Hari, N., 2007. "Modeling mortality : Empirical studies on the effect of mortality on annuity markets," Other publications TiSEM a31eb479-4ce0-404a-b5c8-f, Tilburg University, School of Economics and Management.
    22. Hainaut, Donatien & Denuit, Michel, 2020. "Wavelet-based feature-engineering for mortality projection," LIDAM Discussion Papers ISBA 2020001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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