4th–7th July 2023 in Edinburgh, GB
Join us at the 26th International Congress on Insurance: Mathematics and Economics on 5th and 7th of July 2023 in Edinburgh.
The IME 2023 Congress is being hosted by the Department of Actuarial Mathematics and Statistics at Heriot-Watt University. Keynote speakers will include Séverine Arnold from University of Lausanne, Julia Eisenberg of TU Wien and Mario Wüthrich of ETH Zurich.
Lukas Stake of the Ad Res Team will be presenting on “Ultimate old-age mortality methods: a comparative study”.
Determining the shape of the mortality curve at advanced ages is important for actuaries, demographers, and gerontologists alike. Due to lack of reliable deaths data at ages above 90 years, there is still no conclusive answer to the question, whether ultimate old-age mortality rates decelerate, accelerate or continue to increase uniformly. In our comparative analysis, we make use of high-quality Canadian and Swedish data and pit the method of Smooth Threshold Life Tables (Huang et al. 2020) which use a Generalised Pareto distribution derived from Extreme Value Theory, against the Gamma-Makeham distribution popular among demographers, also known as the Makeham-Beard mortality law to actuaries. We compare both results to the method of Hermite splines (Richards 2020), which possesses the additional benefit of ensuring mortality convergence at the ultimate ages.
Authors: Lukas Stake, Kai Kaufhold, Martina Brück, Claus Neidhardt
