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Forecasting Spanish Natural Life Expectancy

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  • Montserrat Guillen
  • Antoni Vidiella‐i‐Anguera

Abstract

Knowledge of trends in life expectancy is of major importance for policy planning. It is also a key indicator for assessing future development of life insurance products, substantiality of existing retirement schemes, and long‐term care for the elderly. This article examines the feasibility of decomposing age‐gender‐specific accidental and natural mortality rates. We study this decomposition by using the Lee and Carter model. In particular, we fit the Poisson log‐bilinear version of this model proposed by Wilmoth and Brouhns et al. to historical (1975–1998) Spanish mortality rates. In addition, by using the model introduced by Wilmoth and Valkonen we analyze mortality‐gender differentials for accidental and natural rates. We present aggregated life expectancy forecasts compared with those constructed using nondecomposed mortality rates.

Suggested Citation

  • Montserrat Guillen & Antoni Vidiella‐i‐Anguera, 2005. "Forecasting Spanish Natural Life Expectancy," Risk Analysis, John Wiley & Sons, vol. 25(5), pages 1161-1170, October.
    • Handle: RePEc:wly:riskan:v:25:y:2005:i:5:p:1161-1170
    DOI: 10.1111/j.1539-6924.2005.00671.x
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    References listed on IDEAS

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    1. Felipe, Angie & Guillen, Montserrat & Nielsen, Jens Perch, 2001. "Longevity studies based on kernel hazard estimation," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 191-204, April.
    2. Renshaw, A. E. & Haberman, S., 2003. "On the forecasting of mortality reduction factors," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 379-401, July.
    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, January.
    4. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423.
    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.
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    Cited by:

    1. Rabitti, Giovanni & Borgonovo, Emanuele, 2020. "Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 48-58.

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