Producing the Dutch and Belgian mortality projections: A stochastic multi-population standard

Katrien Antonio, Sander Devriendt*, Wouter de Boer, Robert de Vries, Anja De Waegenaere, Hok-Kwan Kan, Egbert Kromme, Wilbert Ouburg, Tim Schulteis, Erica Slagter, Marco van der Winden, Corne van Iersel, Michel Vellekoop

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

3 Citations (Scopus)

Abstract

The quantification of longevity risk in a systematic way requires statistically sound forecasts of mortality rates and their corresponding uncertainty. Actuarial associations have a long history and continue to play an important role in the development, application and dispersion of mortality projections for the countries they represent. This paper gives an in depth presentation and discussion of the mortality projections as published by the Dutch (in 2014) and Belgian (in 2015) actuarial associations. The goal of these institutions was to publish a stochastic mortality projection model in line with both rigorous standards of state-of-the-art academic work as well as the requirements of practical work such as robustness and transparency. Constructed by a team of authors from both academia and practice, the developed mortality projection standard is a Li and Lee type multi-population model. To project mortality, a global Western European trend and a country-specific deviation from this trend are jointly modelled with a bivariate time series model. We motivate and document all choices made in the model specification, calibration and forecasting process as well as the model selection strategy. We show the model fit and mortality projections and illustrate the use of the model in several pension-related applications.

Original languageEnglish
Pages (from-to)297-336
JournalEuropean actuarial journal
Volume7
Issue number2
DOIs
Publication statusPublished - Dec 2017

Keywords

  • Stochastic mortality models
  • Projected mortality
  • Stochastic multi-population mortality
  • Li and Lee model
  • Lee and Carter model
  • Poisson regression
  • Pension calculations
  • Longevity risk
  • Professional actuarial associations

Cite this

Antonio, K., Devriendt, S., de Boer, W., de Vries, R., De Waegenaere, A., Kan, H-K., Kromme, E., Ouburg, W., Schulteis, T., Slagter, E., van der Winden, M., van Iersel, C., & Vellekoop, M. (2017). Producing the Dutch and Belgian mortality projections: A stochastic multi-population standard. European actuarial journal, 7(2), 297-336. https://doi.org/10.1007/s13385-017-0159-x