A Multivariate Approach to Project Common Trends in Mortality Indices

26 Pages Posted: 2 Apr 2018

See all articles by Ntamjokouen Achille

Ntamjokouen Achille

Università degli Studi di Bergamo

Steven Haberman

City University London - Faculty of Actuarial Science

Giorgio Consigli

Credito Italiano

Date Written: March 26, 2018

Abstract

The improvements in mortality rates have been under investigation in many studies across the 20th century, especially in developed countries. Current literature assumes that mortality indice can be forecasted independently through the model ARIMA (Autoregressive Integrated Moving Average). However, in this paper, we apply and compare the ARIMA and the Vector Error Correction (VECM) models for mortality indices by provinces across Canada. We clearly show through the Johansen cointegration test that there is a long run equilibrium relationship between provincial mortality indices in Canada during the period from 1921 to 2009. Thus, we demonstrate that Canadian mortality indices cannot be forecasted independently, as it is stated in the current literature, but into a Vector Error Correction Model that shows a multivariate dynamic relationship between mortality indices and its improvements. Findings from this framework could help local insurers to build new financial products for hedging mortality risk purposes and also for the pricing of annuity contracts.

Keywords: Mortality indices, Common trends, dependence, ARIMA, VAR, VECM

Suggested Citation

Achille, Ntamjokouen and Haberman, Steven and Consigli, Giorgio, A Multivariate Approach to Project Common Trends in Mortality Indices (March 26, 2018). Available at SSRN: https://ssrn.com/abstract=3149989 or http://dx.doi.org/10.2139/ssrn.3149989

Ntamjokouen Achille (Contact Author)

Università degli Studi di Bergamo ( email )

Via Salvecchio, 19
Bergamo, 24129
Italy
3290442821 (Phone)

Steven Haberman

City University London - Faculty of Actuarial Science ( email )

London
United Kingdom

Giorgio Consigli

Credito Italiano ( email )

Head Office
Via S.Protaso, 3
20149 Milan
Italy
++39-2-88623586 (Phone)
++39-2-88622844 (Fax)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
28
Abstract Views
198
PlumX Metrics