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Credible Regression Approaches to Forecast Mortality for Populations with Limited Data

Author

Listed:
  • Apostolos Bozikas

    (Department of Statistics and Insurance Science, University of Piraeus, 18534 Piraeus, Greece)

  • Georgios Pitselis

    (Department of Statistics and Insurance Science, University of Piraeus, 18534 Piraeus, Greece)

Abstract
In this paper, we propose a credible regression approach with random coefficients to model and forecast the mortality dynamics of a given population with limited data. Age-specific mortality rates are modelled and extrapolation methods are utilized to estimate future mortality rates. The results on Greek mortality data indicate that credibility regression contributed to more accurate forecasts than those produced from the Lee–Carter and Cairns–Blake–Dowd models. An application on pricing insurance-related products is also provided.

Suggested Citation

  • Apostolos Bozikas & Georgios Pitselis, 2019. "Credible Regression Approaches to Forecast Mortality for Populations with Limited Data," Risks, MDPI, vol. 7(1), pages 1-22, February.
    • Handle: RePEc:gam:jrisks:v:7:y:2019:i:1:p:27-:d:209273
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    References listed on IDEAS

    as
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    1. Bozikas, Apostolos & Pitselis, Georgios, 2020. "Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 353-368.

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