Forecasting Mortality: When Academia Meets Practice

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It was possible to publish this article open access thanks to a Swiss National Licence with the publisher.
Serval ID
serval:BIB_F0FC6B1F3788
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Forecasting Mortality: When Academia Meets Practice
Journal
European Actuarial Journal
Working group(s)
Arnold (-Gaille) S.
ISSN
2190-9733
Publication state
Published
Issued date
2012
Peer-reviewed
Oui
Volume
2
Number
1
Pages
49-76
Language
english
Abstract
Techniques used in practice often differ from tools developed in academia. The lack of communication that may exist between academia and practice can then have important consequences for many insurance companies or pension funds. This issue is illustrated with what is currently happening in Switzerland. Swiss pension funds use mortality tables that are regularly updated with new observations. A new version of these tables has been recently published and includes a procedure to forecast mortality until 2150. The method applied for these projections is very different from the several forecasting models that have been developed in academia over the last decades. In this paper, we compare mortality forecasts used by practitioners in Switzerland and the forecasts resulting from two simple approaches well-known in academia, the Lee-Carter model and the Heligman-Pollard function. These two approaches have the advantage of simplicity and thus, all insurance companies and pension funds may implement them without any difficulties. The analysis demonstrates that both academic methods forecast a more important decrease in mortality than the approach applied by pension funds, especially in the long-run and for females. Impacts on pension liabilities are then evaluated, enlightening the future challenges many
institutions will face. Finally, a few points which insurance companies or pension funds
need to be cautious with, when using mortality forecasts, are summarized.
Keywords
Mortality forecasts, Pension fund liabilities, Switzerland, LPP 2010, Lee-Carter model, Heligman-Pollard function
Open Access
Yes
Create date
30/11/2011 17:24
Last modification date
01/10/2019 7:20
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