Multi-population mortality model: a practical approach
The growing number of multi-population mortality models in the recent years signifies the mortality improvement in developed countries. In this case, there exists a narrowing gap of sex-differential in life expectancy between populations; hence multi-population mortality models are designed to assim...
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Penerbit Universiti Kebangsaan Malaysia
2018
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| Online Access: | http://journalarticle.ukm.my/12140/ http://journalarticle.ukm.my/12140/ http://journalarticle.ukm.my/12140/1/31%20Siti%20Rohani%20Mohd%20Nor.pdf |
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ukm-12140 |
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ukm-121402018-09-28T22:41:59Z http://journalarticle.ukm.my/12140/ Multi-population mortality model: a practical approach Siti Rohani Mohd Nor, Fadhilah Yusof, Arifah Bahar, The growing number of multi-population mortality models in the recent years signifies the mortality improvement in developed countries. In this case, there exists a narrowing gap of sex-differential in life expectancy between populations; hence multi-population mortality models are designed to assimilate the correlation between populations. The present study considers two extensions of the single-population Lee-Carter model, namely the independent model and augmented common factor model. The independent model incorporates the information between male and female separately whereas the augmented common factor model incorporates the information between male and female simultaneously. The methods are demonstrated in two perspectives: First is by applying them to Malaysian mortality data and second is by comparing the significance of the methods to the annuity pricing. The performances of the two methods are then compared in which has been found that the augmented common factor model is more superior in terms of historical fit, forecast performance, and annuity pricing. Penerbit Universiti Kebangsaan Malaysia 2018-06 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/12140/1/31%20Siti%20Rohani%20Mohd%20Nor.pdf Siti Rohani Mohd Nor, and Fadhilah Yusof, and Arifah Bahar, (2018) Multi-population mortality model: a practical approach. Sains Malaysiana, 47 (6). pp. 1337-1347. ISSN 0126-6039 http://www.ukm.my/jsm/english_journals/vol47num6_2018/contentsVol47num6_2018.html |
| repository_type |
Digital Repository |
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Local University |
| institution |
Universiti Kebangasaan Malaysia |
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UKM Institutional Repository |
| collection |
Online Access |
| language |
English |
| description |
The growing number of multi-population mortality models in the recent years signifies the mortality improvement in developed countries. In this case, there exists a narrowing gap of sex-differential in life expectancy between populations; hence multi-population mortality models are designed to assimilate the correlation between populations. The present study considers two extensions of the single-population Lee-Carter model, namely the independent model and augmented common factor model. The independent model incorporates the information between male and female separately whereas the augmented common factor model incorporates the information between male and female simultaneously. The methods are demonstrated in two perspectives: First is by applying them to Malaysian mortality data and second is by comparing the significance of the methods to the annuity pricing. The performances of the two methods are then compared in which has been found that the augmented common factor model is more superior in terms of historical fit, forecast performance, and annuity pricing. |
| format |
Article |
| author |
Siti Rohani Mohd Nor, Fadhilah Yusof, Arifah Bahar, |
| spellingShingle |
Siti Rohani Mohd Nor, Fadhilah Yusof, Arifah Bahar, Multi-population mortality model: a practical approach |
| author_facet |
Siti Rohani Mohd Nor, Fadhilah Yusof, Arifah Bahar, |
| author_sort |
Siti Rohani Mohd Nor, |
| title |
Multi-population mortality model: a practical approach |
| title_short |
Multi-population mortality model: a practical approach |
| title_full |
Multi-population mortality model: a practical approach |
| title_fullStr |
Multi-population mortality model: a practical approach |
| title_full_unstemmed |
Multi-population mortality model: a practical approach |
| title_sort |
multi-population mortality model: a practical approach |
| publisher |
Penerbit Universiti Kebangsaan Malaysia |
| publishDate |
2018 |
| url |
http://journalarticle.ukm.my/12140/ http://journalarticle.ukm.my/12140/ http://journalarticle.ukm.my/12140/1/31%20Siti%20Rohani%20Mohd%20Nor.pdf |
| first_indexed |
2023-09-18T20:01:57Z |
| last_indexed |
2023-09-18T20:01:57Z |
| _version_ |
1777406907247493120 |