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Common Factor Cause-Specific Mortality Model

Author

Listed:
  • Geert Zittersteyn

    (ILX, Linnaeusstraat 2A, 1092 CK Amsterdam, The Netherlands)

  • Jennifer Alonso-García

    (Department of Mathematics, Université Libre de Bruxelles, Boulevard du Triomphe, B-1050 Bruxelles, Belgium
    ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Sydney, 223 Anzac Pde Kensington, Sydney, NSW 2033, Australia
    Netspar, Warandelaan 2, 5037 AB Tilburg, The Netherlands)

Abstract

Recent pension reforms in Europe have implemented a link between retirement age and life expectancy. The accurate forecast of life tables and life expectancy is hence paramount for governmental policy and financial institutions. We developed a multi-population mortality model which includes a cause-specific environment using Archimedean copulae to model dependence between various groups of causes of death. For this, Dutch data on cause-of-death mortality and cause-specific mortality data from 14 comparable European countries were used. We find that the inclusion of a common factor to a cause-specific mortality context increases the robustness of the forecast and we underline that cause-specific mortality forecasts foresee a more pessimistic mortality future than general mortality models. Overall, we find that this non-trivial extension is robust to the copula specification for commonly chosen dependence parameters.

Suggested Citation

  • Geert Zittersteyn & Jennifer Alonso-García, 2021. "Common Factor Cause-Specific Mortality Model," Risks, MDPI, vol. 9(12), pages 1-30, December.
    • Handle: RePEc:gam:jrisks:v:9:y:2021:i:12:p:221-:d:694111
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    References listed on IDEAS

    as
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