Mortality projection using the logistic model

Research output: Contribution to journalMeeting abstract

Abstract

Purpose: In this project, the logistic model is fitted to the observed mortality rates for each calendar year, and the estimated parameters are then projected into the future in order to sample a distribution for future mortality rates. Originality: This work attempts to project the parameters of the logistic model and focuses on the age range of 60 to 89. As the model for this age range is largely linear and there are only two parameters involved, projection is much more feasible than earlier work in the literature of using too many parameters. Design/methodology/approach: The new approach is tested on several countries' mortality data and out-of-sample tests are conducted. Findings: The out-of-sample tests indicate that the forecasting performance of the new approach is satisfactory. Research limitations/implications: As rising longevity becomes a significant issue for pension and annuity providers, the new approach in this project is potentially useful for projecting future mortality rates and pricing pensions and annuities. Practical and Social implications: The new approach provides new insights into projecting the mortality rates for those who are of retirement age.
Original languageEnglish
Pages (from-to)60-61
Number of pages2
JournalExpo 2011 Higher Degree Research : book of abstracts
Publication statusPublished - 2011
Externally publishedYes
EventHigher Degree Research Expo (7th : 2011) - Sydney
Duration: 10 Oct 201111 Oct 2011

Keywords

  • logistic model
  • mortality rates
  • longevity

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