Forecasting mortality at high ages

(Feb 28, 2011)

The forecasting of future mortality at high ages presents additional challenges to the actuary.  As an illustration of the problem, let us consider the CMI assured-lives data set for years 1950-2005 and ages 40-100 (see Stephen's blog posts on selection and data volumes).  The blue curve (partly hidden under the green curve) in Figure 1 shows observed log(mortality) averaged over time.  A striking feature of this curve is the suggestion of data-quality issues above age 95:

Figure 1. log(mortality) by age for CMI assured-lives data, ages 40-100.

log(mortality) by age for CMI data, ages 40-100

We don't believe mortality rates fall at high ages, so there must be a problem with the data.  The obvious first solution is simply to model mortality up to an age where…

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Tags: missing data, mortality projections, age extrapolation

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