Is Gamma Frailty a Good Model? Evidence from Canadian Pension Funds
12 Pages Posted: 6 Aug 2015
Date Written: August 5, 2015
In this paper, we bootstrap data on Canadian pensioners' mortality (spanning 1999-2008) that was recently published by the CIA (2014) in order to study the characteristics of its implied heterogeneity. We find strong support for the gamma frailty model. It is remarkable that our results are obtained without making any distributional assumption.
Keywords: Gamma frailty, Stochastic mortality, Empirical study, Real data
JEL Classification: C55, G22
Suggested Citation: Suggested Citation