Common Factor Cause-Specific Mortality Model
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-...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-12-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/9/12/221 |
| _version_ | 1797500942454620160 |
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| author | Geert Zittersteyn Jennifer Alonso-García |
| author_facet | Geert Zittersteyn Jennifer Alonso-García |
| author_sort | Geert Zittersteyn |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-10T03:11:08Z |
| format | Article |
| id | doaj.art-eee6476d45bf41309ba99548f37930ee |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-03-10T03:11:08Z |
| publishDate | 2021-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-eee6476d45bf41309ba99548f37930ee2023-11-23T10:26:32ZengMDPI AGRisks2227-90912021-12-0191222110.3390/risks9120221Common Factor Cause-Specific Mortality ModelGeert Zittersteyn0Jennifer Alonso-García1ILX, Linnaeusstraat 2A, 1092 CK Amsterdam, The NetherlandsDepartment of Mathematics, Université Libre de Bruxelles, Boulevard du Triomphe, B-1050 Bruxelles, BelgiumRecent 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.https://www.mdpi.com/2227-9091/9/12/221mortalitycause of deathcommon factorArchimedean copulapopulation dynamics |
| spellingShingle | Geert Zittersteyn Jennifer Alonso-García Common Factor Cause-Specific Mortality Model Risks mortality cause of death common factor Archimedean copula population dynamics |
| title | Common Factor Cause-Specific Mortality Model |
| title_full | Common Factor Cause-Specific Mortality Model |
| title_fullStr | Common Factor Cause-Specific Mortality Model |
| title_full_unstemmed | Common Factor Cause-Specific Mortality Model |
| title_short | Common Factor Cause-Specific Mortality Model |
| title_sort | common factor cause specific mortality model |
| topic | mortality cause of death common factor Archimedean copula population dynamics |
| url | https://www.mdpi.com/2227-9091/9/12/221 |
| work_keys_str_mv | AT geertzittersteyn commonfactorcausespecificmortalitymodel AT jenniferalonsogarcia commonfactorcausespecificmortalitymodel |