IDEAS home Printed from https://ideas.repec.org/a/taf/uaajxx/v21y2017i2p204-227.html
   My bibliography  Save this article

A Bühlmann Credibility Approach to Modeling Mortality Rates

Author

Listed:
  • Cary Chi-Liang Tsai
  • Tzuling Lin

Abstract

In this article, we first propose a Bühlmann nonparametric credibility approach to forecasting mortality rates, and we then compare forecasting performances between the proposed Bühlmann approach and the Lee-Carter/Cairns-Blake-Dowd (CBD) models. Empirical results based on mortality data for both genders of Japan, the United Kingdom, and the United States with two age spans, a wide range of fitting year spans, and three forecasting periods show that the credibility approach contributes to much better forecasting performances measured by the mean absolute percentage error. Moreover, we give an informative credibility interpretation regarding the average decrements of an individual time trend for age x and a group time trend for all ages, and we discuss the effects of the slope and intercept of the linear functions for the forecasted mortality rates under the proposed Bühlmann nonparametric credibility approach and the Lee-Carter/CBD models. Finally, we also estimate the parameters of the Bühlmann credibility approach in a semiparametric framework, and we provide a stochastic version of forecasting mortality rates for the Bühlmann credibility approach.

Suggested Citation

  • Cary Chi-Liang Tsai & Tzuling Lin, 2017. "A Bühlmann Credibility Approach to Modeling Mortality Rates," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(2), pages 204-227, April.
    • Handle: RePEc:taf:uaajxx:v:21:y:2017:i:2:p:204-227
    DOI: 10.1080/10920277.2016.1246253
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10920277.2016.1246253
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10920277.2016.1246253?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    2. Tsai, Cary Chi-Liang & Kim, Seyeon, 2022. "Model mortality rates using property and casualty insurance reserving methods," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 326-340.
    3. Bozikas, Apostolos & Pitselis, Georgios, 2020. "Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 353-368.
    4. Tsai, Cary Chi-Liang & Wu, Adelaide Di, 2020. "Incorporating hierarchical credibility theory into modelling of multi-country mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 37-54.
    5. Norkhairunnisa Redzwan & Rozita Ramli, 2022. "A Bibliometric Analysis of Research on Stochastic Mortality Modelling and Forecasting," Risks, MDPI, vol. 10(10), pages 1-17, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:uaajxx:v:21:y:2017:i:2:p:204-227. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/uaaj .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.