• Citer

Common Factor Cause-Specific Mortality Model

par Zittersteyn, Geert;Alonso Garcia, Jennifer
Référence Risks, 9, 12, 221
Publication Publié, 2021-12-03

Article révisé par les pairs

• Accès en ligne
• Détails
• Contenu
• Statistiques

Résumé :

Recent pension reforms in Europe have implemented a link between retirement age and life expectancy. The accurate forecast of life tables and life expectancy is hence paramount for governmental policy and financial institutions. We developed a multi-population mortality model which includes a cause-specific environment using Archimedean copulae to model dependence between various groups of causes of death. For this, Dutch data on cause-of-death mortality and cause-specific mortality data from 14 comparable European countries were used. We find that the inclusion of a common factor to a cause-specific mortality context increases the robustness of the forecast and we underline that cause-specific mortality forecasts foresee a more pessimistic mortality future than general mortality models. Overall, we find that this non-trivial extension is robust to the copula specification for commonly chosen dependence parameters.