Mortality Leads and Lags

Abstract

Mortality risk varies geographically, especially in the Asia-Pacific (APAC) region, where economic development is quite diverse. We present a newly-collected dataset on aggregate population mortality from eleven countries in APAC, which we rank based on their economic development. Using lead-lag analysis, we identify short-term predictability in mortality risk across countries. Mortality improvements seem to appear faster in more developed than less developed countries. Such predictability is useful for longevity risk financing and in producing cross-country mortality indices.We propose ways in which our results can benefit institutions manage their exposure in APAC mortality and longevity risk.

Keywords: Mortality, longevity risk management, Granger-causality, economic development

JEL Classification: C01, C13, G22, G23