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European Actuarial Journal

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01-07-2011 | Original Research Paper

A user-friendly approach to stochastic mortality modelling

Authors: Helena Aro, Teemu Pennanen

Published in: European Actuarial Journal | Special Issue 2/2011

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Abstract

This paper proposes a general approach to stochastic mortality modelling. The logit transforms of annual survival probabilities are modelled by a linear combination of user-specified basis function of age. The model is easy to calibrate using the maximum likelihood method. The flexible construction and tangible interpretation of the underlying risk factors allows for an easy incorporation of population-specific characteristics and user views into the model. We fit two versions of the model into Finnish adult (18–100 years) population and mortality data, and present simulations for the future development of life spans.

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Title: A user-friendly approach to stochastic mortality modelling
Authors: Helena Aro
Teemu Pennanen
Publication date: 01-07-2011
Publisher: Springer-Verlag
Published in: European Actuarial Journal / Issue Special Issue 2/2011
Print ISSN: 2190-9733
Electronic ISSN: 2190-9741
DOI: https://doi.org/10.1007/s13385-011-0030-4

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