Is Gamma Frailty a Good Model? Evidence from Canadian Pension Funds

12 Pages Posted: 6 Aug 2015

See all articles by Benjamin Avanzi

Benjamin Avanzi

UNSW Australia Business School, School of Risk and Actuarial Studies

Claudia Gagné

University of Montreal - Department of Mathematics and Statistics

Vincent Tu

UNSW Australia Business School, School of Risk & Actuarial Studies

Date Written: August 5, 2015

Abstract

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

Avanzi, Benjamin and Gagné, Claudia and Tu, Vincent, Is Gamma Frailty a Good Model? Evidence from Canadian Pension Funds (August 5, 2015). UNSW Business School Research Paper No. 2015ACTL15. Available at SSRN: https://ssrn.com/abstract=2639936 or http://dx.doi.org/10.2139/ssrn.2639936

Benjamin Avanzi (Contact Author)

UNSW Australia Business School, School of Risk and Actuarial Studies ( email )

UNSW Sydney, NSW 2052
Australia

Claudia Gagné

University of Montreal - Department of Mathematics and Statistics ( email )

Montreal, Quebec H3C 3J7
Canada

Vincent Tu

UNSW Australia Business School, School of Risk & Actuarial Studies ( email )

Room 2058 South Wing 2nd Floor
Quadrangle building, Kensington Campus
Sydney, NSW 2052
Australia

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