Universiti Teknologi Malaysia Institutional Repository

Multi-Population mortality model: A practical approach

Mohd. Nor, Siti Rohani and Yusof, Fadhilah and Bahar, Arifah (2018) Multi-Population mortality model: A practical approach. Sains Malaysiana, 47 (6). pp. 1337-1347. ISSN 0126-6039

[img] PDF
1MB

Official URL: http://dx.doi.org/10.17576/jsm-2018-4706-31

Abstract

The growing number of multi-population mortality models in the recent years signifies the mortality improvement in developed countries. In this case, there exists a narrowing gap of sex-differential in life expectancy between populations; hence multi-population mortality models are designed to assimilate the correlation between populations. The present study considers two extensions of the single-population Lee-Carter model, namely the independent model and augmented common factor model. The independent model incorporates the information between male and female separately whereas the augmented common factor model incorporates the information between male and female simultaneously. The methods are demonstrated in two perspectives: First is by applying them to Malaysian mortality data and second is by comparing the significance of the methods to the annuity pricing. The performances of the two methods are then compared in which has been found that the augmented common factor model is more superior in terms of historical fit, forecast performance, and annuity pricing.

Item Type:Article
Uncontrolled Keywords:Augmented, Independent
Subjects:Q Science > QA Mathematics
Divisions:Science
ID Code:84544
Deposited By: Widya Wahid
Deposited On:11 Jan 2020 15:32
Last Modified:11 Jan 2020 15:32

Repository Staff Only: item control page