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Mortality Leads and Lags

44 Pages Posted: 14 Feb 2015 Last revised: 8 Oct 2016

Andreas Milidonis

University of Cyprus - Department of Accounting and Finance

Maria Efthymiou

University of Cyprus - Department of Public and Business Administration

Multiple version iconThere are 2 versions of this paper

Date Written: May 6, 2016

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

Suggested Citation

Milidonis, Andreas and Efthymiou, Maria, Mortality Leads and Lags (May 6, 2016). Available at SSRN: https://ssrn.com/abstract=2564414 or http://dx.doi.org/10.2139/ssrn.2564414

Andreas Milidonis (Contact Author)

University of Cyprus - Department of Accounting and Finance ( email )

P.O. Box 20537
Nicosia CY-1678
Cyprus
+357 22 893 626 (Phone)

HOME PAGE: http://www.ucy.ac.cy/~amilidon/

Maria Efthymiou

University of Cyprus - Department of Public and Business Administration ( email )

University of Cyprus
P.O. Box 20537
Nicosia CY-1678
Cyprus

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