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Forecasting mortality for small populations by mixing mortality data

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  • Ahcan, Ales
  • Medved, Darko
  • Olivieri, Annamaria
  • Pitacco, Ermanno
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    Abstract

    In this paper we address the problem of projecting mortality when data are severely affected by random fluctuations, due in particular to a small sample size, or when data are scanty. Such situations may emerge when dealing with small populations, such as small countries (possibly previously part of a larger country), a specific geographic area of a (large) country, a life annuity portfolio or a pension fund, or when the investigation is restricted to the oldest ages. The critical issues arising from the volatility of data due to the small sample size (especially at the highest ages) may be made worse by missing records; this is the case, for example, of a small country previously part of a larger country, or a specific geographic area of a country, given that in some periods mortality data could have been collected just at an aggregate level.

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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 54 (2014)
    Issue (Month): C ()
    Pages: 12-27

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    Handle: RePEc:eee:insuma:v:54:y:2014:i:c:p:12-27

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    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords: Mortality projections; Mortality trends; Multi-population mortality models;

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    References

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    1. Ryan D. Edwards & Shripad Tuljapurkar, 2005. "Inequality in Life Spans and a New Perspective on Mortality Convergence Across Industrialized Countries," Population and Development Review, The Population Council, Inc., vol. 31(4), pages 645-674.
    2. James Vaupel & Kenneth Manton & Eric Stallard, 1979. "The impact of heterogeneity in individual frailty on the dynamics of mortality," Demography, Springer, vol. 16(3), pages 439-454, August.
    3. Pitacco, Ermanno & Denuit, Michel & Haberman, Steven & Olivieri, Annamaria, 2009. "Modelling Longevity Dynamics for Pensions and Annuity Business," OUP Catalogue, Oxford University Press, number 9780199547272, September.
    4. Plat, Richard, 2009. "Stochastic portfolio specific mortality and the quantification of mortality basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 123-132, August.
    5. 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.
    6. Dowd, Kevin & Cairns, Andrew & Blake, David & Coughlan, Guy & Khalaf-Allah, Marwa, 2011. "A gravity model of mortality rates for two related populations," MPRA Paper 35738, University Library of Munich, Germany.
    7. Nan Li & Ronald Lee, 2005. "Coherent mortality forecasts for a group of populations: An extension of the lee-carter method," Demography, Springer, vol. 42(3), pages 575-594, August.
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