Bayesian Poisson log-bilinear mortality projections. (English) Zbl 1110.62142
Summary: Mortality projections are major concerns for public policy, social security and private insurance. This paper implements a Bayesian log-bilinear Poisson regression model to forecast mortality. Computations are carried out using Markov Chain Monte Carlo methods in which the degree of smoothing is learnt from the data. Comparisons are made with the approach proposed by N. Brouhns, M. Denuit and J.K. Vermunt [ibid. 31, No. 3, 373–393 (2002; Zbl 1074.62524); Bull. Swiss Assoc. Actuaries, 105–130 (2002)], as well as with the original model of R. D. Lee and L. Carter [J. Am. Stat. Assoc. 87, 659–671 (1992)].
MSC:
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 65C40 | Numerical analysis or methods applied to Markov chains |
| 91B30 | Risk theory, insurance (MSC2010) |
| 91D20 | Mathematical geography and demography |
Citations:
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