TY - JOUR
AU1 - Antonio, Katrien
AU2 - Devriendt, Sander
AU3 - Boer, Wouter
AU4 - Vries, Robert
AU5 - Waegenaere, Anja
AU6 - Kan, Hok-Kwan
AU7 - Kromme, Egbert
AU8 - Ouburg, Wilbert
AU9 - Schulteis, Tim
AU1 - Slagter, Erica
AU1 - Winden, Marco
AU1 - Iersel, Corné
AU1 - Vellekoop, Michel
AB - The quantification of longevity risk in a systematic way requires statistically sound forecasts of mortality rates and their corresponding uncertainty. Actuarial associations have a long history and continue to play an important role in the development, application and dispersion of mortality projections for the countries they represent. This paper gives an in depth presentation and discussion of the mortality projections as published by the Dutch (in 2014) and Belgian (in 2015) actuarial associations. The goal of these institutions was to publish a stochastic mortality projection model in line with both rigorous standards of state-of-the-art academic work as well as the requirements of practical work such as robustness and transparency. Constructed by a team of authors from both academia and practice, the developed mortality projection standard is a Li and Lee type multi-population model. To project mortality, a global Western European trend and a country-specific deviation from this trend are jointly modelled with a bivariate time series model. We motivate and document all choices made in the model specification, calibration and forecasting process as well as the model selection strategy. We show the model fit and mortality projections and illustrate the use of the model in several pension-related applications.
TI - Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard
JF - European Actuarial Journal
DO - 10.1007/s13385-017-0159-x
DA - 2017-10-14
UR - https://www.deepdyve.com/lp/springer-journals/producing-the-dutch-and-belgian-mortality-projections-a-stochastic-f4CxwL1KyR
SP - 297
EP - 336
VL - 7
IS - 2
DP - DeepDyve
ER -