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A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates

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  • Cary Chi-Liang Tsai
  • Ying Zhang

Abstract

In this paper, we first propose a multi-dimensional Bühlmann credibility approach to forecasting mortality rates for multiple populations, and then compare forecasting performances among the proposed approach, the CBD model, the Lee-Carter model (LC), the joint-k (JoK-LC), the co-integrated (CoI-LC), and the augmented common factor (ACF-LC) Lee-Carter models for multiple populations. Mortality data from the Human Mortality Database are fitted to the underlying mortality models for both genders of three well-developed countries (the US, the UK, and Japan) and both genders of a developed country (France) and a developing country (Poland) with an age span 25–84 and a wide range of fitting year spans. Empirical illustrations show that the proposed multi-dimensional Bühlmann credibility approach contributes to more accurate forecast results, measured by AMAPE (average of mean absolute percentage errors over all fitting year spans), than the CBD, LC, JoK-LC, CoI-LC and ACF-LC models for three forecasting year spans 2004–2013 (10-year wide), 1994–2013 (20-year wide) and 1984–2013 (30-year wide).

Suggested Citation

  • Cary Chi-Liang Tsai & Ying Zhang, 2019. "A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2019(5), pages 406-431, May.
    • Handle: RePEc:taf:sactxx:v:2019:y:2019:i:5:p:406-431
    DOI: 10.1080/03461238.2018.1563911
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