Monitoring mortality. A state-space approach

Piet De Jong*, Phelim P. Boyle

*Corresponding author for this work

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

A state-space model is developed which provides estimates of decrements in a dynamic environment. The model integrates the actual unfolding experience and a priori or Bayesian views of the rates. The estimates of present rates and predicted future rates are continually updated and associated standard errors have simple expressions. The model is described and applied in the context of mortality estimation but it should prove useful in other actuarial applications. The approach is particularly suitable for dynamic environments where data are scarce and updated parameter estimates are required on a regular basis. To illustrate the method it is used to monitor the unfolding mortality experience of the retired lives under an actual pension plan.

Original languageEnglish
Pages (from-to)131-146
Number of pages16
JournalJournal of Econometrics
Volume23
Issue number1
DOIs
Publication statusPublished - 1983
Externally publishedYes

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