IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v93y2020icp27-35.html
   My bibliography  Save this article

Calculation of changes in life expectancy based on proportional hazards model of an intervention

Author

Listed:
  • Kulinskaya, Elena
  • Gitsels, Lisanne A.
  • Bakbergenuly, Ilyas
  • Wright, Nigel R.

Abstract

Mortality projections are of great interest to the pension and insurance industry and with an ageing population, the projections need to cover a longer period. A significant question is how to incorporate in mortality projections the longevity risk due to medical advances and uptake of health interventions. We show how hazard ratios obtained from medical studies in combination with the baseline hazards described by Gompertz or Weibull survival distributions, can be translated into changes in individual and population period life expectancy. The impact of medical advances and health interventions can differ among groups of people, such as by sex, age, and deprivation. Changes in life expectancy depend on the composition of the population and these attributes. These calculations are illustrated by a case study on statins, a drug that can significantly improve life expectancy. An R program implementing our methodology is provided in the Appendix.

Suggested Citation

  • Kulinskaya, Elena & Gitsels, Lisanne A. & Bakbergenuly, Ilyas & Wright, Nigel R., 2020. "Calculation of changes in life expectancy based on proportional hazards model of an intervention," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 27-35.
    • Handle: RePEc:eee:insuma:v:93:y:2020:i:c:p:27-35
    DOI: 10.1016/j.insmatheco.2020.04.006
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167668720300500
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.insmatheco.2020.04.006?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Stéphane Loisel, 2010. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00517902, HAL.
    2. Khalaf-Allah, M. & Haberman, S. & Verrall, R., 2006. "Measuring the effect of mortality improvements on the cost of annuities," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 231-249, October.
    3. Devarajan, Karthik & Ebrahimi, Nader, 2011. "A semi-parametric generalization of the Cox proportional hazards regression model: Inference and applications," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 667-676, January.
    4. Missov, Trifon I. & Lenart, Adam, 2013. "Gompertz–Makeham life expectancies: Expressions and applications," Theoretical Population Biology, Elsevier, vol. 90(C), pages 29-35.
    5. James W. Vaupel, 2010. "Biodemography of human ageing," Nature, Nature, vol. 464(7288), pages 536-542, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kulinskaya, Elena & Gitsels, Lisanne Andra & Bakbergenuly, Ilyas & Wright, Nigel R., 2021. "Dynamic hazards modelling for predictive longevity risk assessment," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 222-231.
    2. Jose Valderrama & Javier Olivera, 2023. "The effects of social pensions on mortality among the extreme poor elderly," LISER Working Paper Series 2023-05, Luxembourg Institute of Socio-Economic Research (LISER).
    3. Jose A. Valderrama & Javier Olivera, 2023. "The effects of social pensions on mortality among the extreme poor elderly," Documentos de Trabajo / Working Papers 2023-525, Departamento de Economía - Pontificia Universidad Católica del Perú.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kulinskaya, Elena & Gitsels, Lisanne Andra & Bakbergenuly, Ilyas & Wright, Nigel R., 2021. "Dynamic hazards modelling for predictive longevity risk assessment," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 222-231.
    2. Debonneuil, Edouard & Loisel, Stéphane & Planchet, Frédéric, 2018. "Do actuaries believe in longevity deceleration?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 325-338.
    3. Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2017. "Conditions Of Interest Of A Longevity Megafund For Pension Funds," Working Papers hal-01571937, HAL.
    4. D. Dragone & H. Strulik, 2017. "Human Health and Aging over an Infinite Time Horizon," Working Papers wp1104, Dipartimento Scienze Economiche, Universita' di Bologna.
    5. Nicole L. Van Der Gaag & Govert Bijwaard & Joop de Beer & Luc Bonneux, 2015. "A multistate model to project elderly disability in case of limited data," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 32(3), pages 75-106.
    6. Melinda Heinz & Nicholas Cone & Grace Da Rosa & Alex J. Bishop & Tanya Finchum, 2017. "Examining Supportive Evidence for Psychosocial Theories of Aging within the Oral History Narratives of Centenarians," Societies, MDPI, vol. 7(2), pages 1-21, April.
    7. Christiansen, Marcus C., 2008. "A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 680-690, April.
    8. Duncan Gillespie & Meredith Trotter & Shripad Tuljapurkar, 2014. "Divergence in Age Patterns of Mortality Change Drives International Divergence in Lifespan Inequality," Demography, Springer;Population Association of America (PAA), vol. 51(3), pages 1003-1017, June.
    9. Karim Barigou & Stéphane Loisel & Yahia Salhi, 2020. "Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect," Risks, MDPI, vol. 9(1), pages 1-18, December.
    10. Gregorio Gimenez & Ana Isabel Gil-Lacruz & Marta Gil-Lacruz, 2021. "Is Happiness Linked to Subjective Life Expectancy? A Study of Chilean Senior Citizens," Mathematics, MDPI, vol. 9(17), pages 1-12, August.
    11. Kashnitsky, Ilya, 2017. "A cohort is not representative of humanity," OSF Preprints 524kg, Center for Open Science.
    12. Marschner, Ian C. & Gillett, Alexandra C. & O’Connell, Rachel L., 2012. "Stratified additive Poisson models: Computational methods and applications in clinical epidemiology," Computational Statistics & Data Analysis, Elsevier, vol. 56(5), pages 1115-1130.
    13. Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2018. "Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?," Risks, MDPI, vol. 6(3), pages 1-27, July.
    14. Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 485564, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
    15. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    16. Felipe Vásquez & Gibran Vita & Daniel B. Müller, 2018. "Food Security for an Aging and Heavier Population," Sustainability, MDPI, vol. 10(10), pages 1-19, October.
    17. Castellares, Fredy & Patrício, Silvio C. & Lemonte, Artur J. & Queiroz, Bernardo L., 2020. "On closed-form expressions to Gompertz–Makeham life expectancy," Theoretical Population Biology, Elsevier, vol. 134(C), pages 53-60.
    18. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.
    19. McCarthy, David G. & Wang, Po-Lin, 2021. "Pooling mortality risk in Eurozone state pension liabilities: An application of a Bayesian coherent multi-population cohort-based mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 459-485.
    20. D’Amato, Valeria & Haberman, Steven & Piscopo, Gabriella & Russolillo, Maria, 2012. "Modelling dependent data for longevity projections," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 694-701.

    More about this item

    Keywords

    Hazard function; Health data; Mortality; Population health; Gompertz distribution; Weibull distribution;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • I13 - Health, Education, and Welfare - - Health - - - Health Insurance, Public and Private

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:93:y:2020:i:c:p:27-35. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.