Abstract
This paper presents a model, which can closely estimate the future mortality rates whose efficiency is performed through the comparisons with respect to Lee-Carter and mortality trend models. This general model estimates the logit function of death rate in terms of general tendency of the mortality evolution independent of age, the mortality steepness, additional effects of childhood, youth and old age. Generalized linear model (GLM) is used to estimate the parameters. Moreover, the weighted least square (WLS) and random walk with drift (RWWD) methods are employed to project the future values of the parameters. In order to ensure the stability of the outputs and construct the confidence intervals, Monte Carlo simulation is used. The impact of the proposed model is implemented on USA, France, Italy, Japan and Israel mortality rates for both genders based on their ageing structure. A detailed comparison study is performed to illustrate modified mortality rates on the net single premiums over mortality trend model and Lee-Carter model.
Highlights
This paper presents a model, which can closely predict the future mortality rates whose e¢ ciency is performed through the comparisons with respect to Lee-Carter and mortality trend models
Projections performed by M-Mortality trend model (MTM) generally have narrower con...dence intervals and more precise forecasts compared to MTM and LC model
The future mortality projected by modi...ed mortality trend model (M-MTM) would be more contributing
Summary
Having well-constructed mortality tables and accurate future mortality rate projections are important in many areas. As the proportion of a speci...c age group whose inner trend is not well represented increase, the gap between installments and the compensations increase, too For this reason, in this paper, we aim (i) to create a mortality trend model which includes both stochastic and deterministic terms to project future mortality rates accurately; (ii) to propose a modi...ed trend model which includes the impact of young ages which is crucial, especially for populations having higher proportions at younger ages; (iii) to incorporate more stochastic structure to capture the stylized facts of mortality trend by modifying the model proposed by Börger (2014). The inclusion of the childhood effect parameter as modi...cation to the linear model having the impact of old, center and young ages on mortality rates is expected to give more sensitive estimation of mortality rates In this aspect, to our best knowledge, this study contributes to the literature of the quanti...cation of in‡uence of childhood e¤ect by determining the threshold age to describe the childhood based on population dynamics.
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