Abstract

http://ssrn.com/abstract=1966712
 
 

References (44)



 


 



Modeling and Forecasting Mortality Rates


Daniel Mitchell


University of Texas at Austin - Red McCombs School of Business

Patrick L. Brockett


University of Texas at Austin - Department of Information, Risk and Operations Management

Rafael Mendoza-Arriaga


University of Texas at Austin - Department of Information, Risk and Operations Management

Kumar Muthuraman


University of Texas at Austin - McCombs School of Business

November 30, 2011

Insurance: Mathematics and Economics, Vol. 52, No. 2, 2013

Abstract:     
We show that by modeling the time series of mortality rate changes rather than mortality rate levels we can better model human mortality. Leveraging on this, we propose a model that expresses log mortality rate changes as an age group dependent linear transformation of a mortality index. The mortality index is modeled as a Normal Inverse Gaussian. We demonstrate, with an exhaustive set of experiments and data sets spanning 11 countries over 100 years, that the proposed model significantly out performs existing models. We further investigate the ability of multiple principal components, rather than just the first component, to capture differentiating features of different age groups and find that a two component NIG model for log mortality change best fits existing mortality rate data.

Keywords: Mortality Rates, Statistics, Time Series, Mortality Forecasting

JEL Classification: C13, C22, G22, I12

Accepted Paper Series





Not Available For Download

Date posted: December 2, 2011 ; Last revised: August 8, 2013

Suggested Citation

Mitchell, Daniel and Brockett, Patrick L. and Mendoza-Arriaga, Rafael and Muthuraman, Kumar, Modeling and Forecasting Mortality Rates (November 30, 2011). Insurance: Mathematics and Economics, Vol. 52, No. 2, 2013. Available at SSRN: http://ssrn.com/abstract=1966712 or http://dx.doi.org/10.2139/ssrn.1966712

Contact Information

Daniel Mitchell (Contact Author)
University of Texas at Austin - Red McCombs School of Business ( email )
Austin, TX 78712
United States
Patrick L. Brockett
University of Texas at Austin - Department of Information, Risk and Operations Management ( email )
CBA 5.202
Austin, TX 78712
United States
Rafael Mendoza-Arriaga
University of Texas at Austin - Department of Information, Risk and Operations Management ( email )
CBA 5.202
Austin, TX 78712
United States
Kumar Muthuraman
University of Texas at Austin - McCombs School of Business ( email )
Austin, TX 78712
United States
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