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European Actuarial Journal

, Volume 7, Issue 2, pp 297–336 | Cite as

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
  • Corné van Iersel
  • Michel Vellekoop
Original Research Paper
  • 333 Downloads

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.

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 

Notes

Acknowledgements

The authors would like to thank the two anonymous referees who provided helpful suggestions to improve an earlier draft of this paper. The authors acknowledge the support of the Koninklijk Actuarieel Genootschap and the Institute of Actuaries in Belgium. Katrien and Sander are grateful for the financial support of Ageas Continental Europe, Fonds voor Wetenschappelijk Onderzoek (\(\textsf {FWO}\)) and the support from KU Leuven through the C2 COMPACT research project.

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Copyright information

© EAJ Association 2017

Authors and Affiliations

  • Katrien Antonio
    • 1
    • 2
    • 5
  • Sander Devriendt
    • 1
  • Wouter de Boer
    • 4
  • Robert de Vries
    • 4
  • Anja De Waegenaere
    • 3
    • 5
  • Hok-Kwan Kan
    • 5
    • 6
  • Egbert Kromme
    • 4
    • 10
  • Wilbert Ouburg
    • 2
    • 5
    • 7
  • Tim Schulteis
    • 4
    • 8
  • Erica Slagter
    • 5
    • 6
  • Marco van der Winden
    • 4
    • 9
  • Corné van Iersel
    • 4
  • Michel Vellekoop
    • 2
    • 4
  1. 1.Faculty of Economics and BusinessKU LeuvenBelgium
  2. 2.Faculty of Economics and BusinessUniversity of AmsterdamAmsterdamThe Netherlands
  3. 3.Center for Economic Research (CentER)Tilburg UniversityTilburgThe Netherlands
  4. 4.Commissie Sterfte Onderzoek, Koninklijk Actuarieel GenootschapUtrechtThe Netherlands
  5. 5.Werkgroep Prognosetafels, Koninklijk Actuarieel GenootschapUtrechtThe Netherlands
  6. 6.AegonThe HagueThe Netherlands
  7. 7.Delta LloydAmsterdamThe Netherlands
  8. 8.Algemene Pensioen Groep (APG)HeerlenThe Netherlands
  9. 9.PGGMZeistThe Netherlands
  10. 10.KPMGAmstelveenThe Netherlands

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