TY - JOUR
T1 - Multi-population mortality modeling with Lévy processes
AU - Jevtić, Petar
AU - Qin, Chengwei
AU - Zhou, Hongjuan
N1 - Publisher Copyright:
© 2023, The Author(s), under exclusive licence to Associazione per la Matematica Applicata alle Scienze Economiche e Sociali (AMASES).
PY - 2023/12
Y1 - 2023/12
N2 - This paper constructs a theoretical framework for multi-population mortality modeling via generalized linear models and Lévy stochastic perturbations driven by a common Brownian motion and idiosyncratic factors to capture the mortality shocks. By having Lévy stochastic perturbations, our model admits various jump types, which is increasingly important for capturing mortality shocks such as pandemics, particularly when they affect various populations differently. At the same time, the proposed model allows a novel dependence structure of multiple populations, which is essential when it comes to the development of multi-population or joint-life products in the context of mortality shocks. In our empirical investigations, the mortality experiences of male and female lives in the UK and Japan are used. Compared with pure Poisson-generalized linear models, the proposed multi-population model shows superiority in predicting future mortality rates.
AB - This paper constructs a theoretical framework for multi-population mortality modeling via generalized linear models and Lévy stochastic perturbations driven by a common Brownian motion and idiosyncratic factors to capture the mortality shocks. By having Lévy stochastic perturbations, our model admits various jump types, which is increasingly important for capturing mortality shocks such as pandemics, particularly when they affect various populations differently. At the same time, the proposed model allows a novel dependence structure of multiple populations, which is essential when it comes to the development of multi-population or joint-life products in the context of mortality shocks. In our empirical investigations, the mortality experiences of male and female lives in the UK and Japan are used. Compared with pure Poisson-generalized linear models, the proposed multi-population model shows superiority in predicting future mortality rates.
KW - Generalized linear models
KW - Lévy process
KW - Multi-population mortality model
UR - http://www.scopus.com/inward/record.url?scp=85160394561&partnerID=8YFLogxK
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U2 - 10.1007/s10203-023-00400-6
DO - 10.1007/s10203-023-00400-6
M3 - Article
AN - SCOPUS:85160394561
SN - 1593-8883
VL - 46
SP - 583
EP - 609
JO - Decisions in Economics and Finance
JF - Decisions in Economics and Finance
IS - 2
ER -