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A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates

Author

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  • Ungolo, Francesco
  • Kleinow, Torsten
  • Macdonald, Angus S.

Abstract

A hierarchical model is developed for the joint mortality analysis of pension scheme datasets. The proposed model allows for a rigorous statistical treatment of missing data. While our approach works for any missing data pattern, we are particularly interested in a scenario where some covariates are observed for members of one pension scheme but not the other. Therefore, our approach allows for the joint modelling of datasets which contain different information about individual lives. The proposed model generalizes the specification of parametric models when accounting for covariates. We consider parameter uncertainty using Bayesian techniques. Model parametrization is analysed in order to obtain an efficient MCMC sampler, and address model selection. The inferential framework described here accommodates any missing-data pattern, and turns out to be useful to analyse statistical relationships among covariates. Finally, we assess the financial impact of using the covariates, and of the optimal use of the whole available sample when combining data from different mortality experiences.

Suggested Citation

  • Ungolo, Francesco & Kleinow, Torsten & Macdonald, Angus S., 2020. "A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 68-84.
    • Handle: RePEc:eee:insuma:v:91:y:2020:i:c:p:68-84
    DOI: 10.1016/j.insmatheco.2020.01.003
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    References listed on IDEAS

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    6. Dickson,David C. M. & Hardy,Mary R. & Waters,Howard R., 2013. "Actuarial Mathematics for Life Contingent Risks," Cambridge Books, Cambridge University Press, number 9781107044074, October.
    7. Macdonald, A.S., 1996. "An Actuarial Survey of Statistical Models for Decrement and Transition Data, III. Counting Process Models," British Actuarial Journal, Cambridge University Press, vol. 2(3), pages 703-726, August.
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    9. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Khalaf-Allah, Marwa, 2011. "Bayesian Stochastic Mortality Modelling for Two Populations," ASTIN Bulletin, Cambridge University Press, vol. 41(1), pages 29-59, May.
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    Cited by:

    1. Ungolo, Francesco & van den Heuvel, Edwin R., 2024. "A Dirichlet process mixture regression model for the analysis of competing risk events," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 95-113.

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