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Exchangeable mortality projection


In this study we derive a novel multi-population Lee-Carter type model. Specifically, we extend the Bayesian model in Czado et al. (Insur Math Econ 36:260–284, 2005) to allow exchangeability between parameters of a group of m populations. In a validation-based examination, the proposed model is found to be beneficial for several examined countries. Also, we examine changes in forecasting ability due to varying calibration periods. Our results suggest that mortality rates from a distant past are inferior to those from a more recent past.

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Correspondence to Vered Shapovalov.

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Shapovalov, V., Landsman, Z. & Makov, U. Exchangeable mortality projection. Eur. Actuar. J. 11, 113–133 (2021).

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  • Bayesian
  • Lee–Carter methodology
  • Mortality forecasting
  • Optimal calibration period
  • Multi-population model
  • Validation-based approach