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Modelling and forecasting mortality in Spain

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  • 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.

Suggested Citation

  • Debón, A. & Montes, F. & Puig, F., 2008. "Modelling and forecasting mortality in Spain," European Journal of Operational Research, Elsevier, vol. 189(3), pages 624-637, September.
  • Handle: RePEc:eee:ejores:v:189:y:2008:i:3:p:624-637
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    References listed on IDEAS

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    1. Felipe, A. & Guillen, M. & Perez-Marin, A. M., 2002. "Recent Mortality Trends in the Spanish Population," British Actuarial Journal, Cambridge University Press, vol. 8(04), pages 757-786, October.
    2. Lee, Ronald & Rofman, Rafael, 1994. "Modelación y proyección de la mortalidad en Chile," Notas de Población, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), June.
    3. Arthur Renshaw & Steven Haberman, 2003. "Lee-Carter mortality forecasting: a parallel generalized linear modelling approach for England and Wales mortality projections," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 52(1), pages 119-137.
    4. 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.
    5. Renshaw, A. E. & Haberman, S., 2003. "Lee-Carter mortality forecasting with age-specific enhancement," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 255-272, October.
    6. Pitacco, Ermanno, 2004. "Survival models in a dynamic context: a survey," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 279-298, October.
    7. 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.
    8. Lawrence R. Carter & Alexia Prskawetz, 2001. "Examining structural shifts in mortality using the Lee-Carter method," MPIDR Working Papers WP-2001-007, Max Planck Institute for Demographic Research, Rostock, Germany.
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    Citations

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    Cited by:

    1. Katja Hanewald, 2009. "Mortality modeling: Lee-Carter and the macroeconomy," SFB 649 Discussion Papers SFB649DP2009-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. repec:eee:insuma:v:75:y:2017:i:c:p:151-165 is not listed on IDEAS
    3. Katja Hanewald & Thomas Post & Helmut Gründl, 2011. "Stochastic Mortality, Macroeconomic Risks and Life Insurer Solvency," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(3), pages 458-475, July.
    4. A. Debòn & S. Haberman & F. Montes & E. Otranto, 2012. "Model effect on projected mortality indicators," Working Paper CRENoS 201215, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    5. Ornelas, Arelly & Guillén, Montserrat, 2013. "A Comparison between General Population Mortality and Life Tables for Insurance in Mexico under Gender Proportion Inequality || Una comparación entre la mortalidad de la población general y las tablas," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 16(1), pages 47-67, December.
    6. Debón, A. & Martínez-Ruiz, F. & Montes, F., 2010. "A geostatistical approach for dynamic life tables: The effect of mortality on remaining lifetime and annuities," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 327-336, December.
    7. repec:eee:csdana:v:112:y:2017:i:c:p:198-214 is not listed on IDEAS
    8. Post, Thomas & Hanewald, Katja, 2013. "Longevity risk, subjective survival expectations, and individual saving behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 86(C), pages 200-220.

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