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Modelling and forecasting mortality in Spain

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Author Info
Debón, A.
Montes, F.
Puig, F.
Abstract

Experience shows that static life tables overestimate death probabilities. As a consequence of this overestimation the premiums for annuities, pensions and life insurance are not what they actually should be, with negative effects for insurance companies or policy-holders. The reason for this overestimation is that static life tables, through being computed for a specific period of time, cannot take into account the decreasing mortality trend over time. Dynamic life tables overcome this problem by incorporating the influence of the calendar when graduating mortality. Recent papers on the topic look for the development of new methods to deal with this dynamism. Most methods used in dynamic tables are parametric, apply traditional mortality laws and then analyse the evolution of estimated parameters with time series techniques. Our contribution consists in extending and applying Lee-Carter methods to Spanish mortality data, exploring residuals and future trends.

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Publisher Info
Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 189 (2008)
Issue (Month): 3 (September)
Pages: 624-637
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:ejores:v:189:y:2008:i:3:p:624-637

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  1. Katja Hanewald, 2009. "Mortality modeling: Lee-Carter and the macroeconomy," SFB 649 Discussion Papers SFB649DP2009-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  2. Katja Hanewald & Thomas Post & Helmut Gründl, 2009. "Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency," SFB 649 Discussion Papers SFB649DP2009-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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