Mortality Leads and Lags

20 Pages Posted: 14 Apr 2017

See all articles by Andreas Milidonis

Andreas Milidonis

University of Cyprus - Department of Accounting and Finance

Maria Efthymiou

University of Cyprus

Multiple version iconThere are 2 versions of this paper

Date Written: April 2017

Abstract

Mortality risk varies geographically, especially in the Asia‐Pacific (APAC) region, where economic development is quite diverse. We present a newly collected data set on aggregate population mortality from 11 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.

Suggested Citation

Milidonis, Andreas and Efthymiou, Maria, Mortality Leads and Lags (April 2017). Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 495-514, 2017, Available at SSRN: https://ssrn.com/abstract=2952788 or http://dx.doi.org/10.1111/jori.12187

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 ( email )

Cyprus
0035722893655 (Phone)

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