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Bühlmann credibility-based approaches to modeling mortality rates for multiple populations. (English) Zbl 1455.91229

The authors propose four Bühlmann credibility-based mortality models for multiple populations, fitted with mortality data from the Human Mortality Database for both genders of the United States, the United Kingdom, and Japan, to forecast mortality rates for three forecasting periods. Based on the average of mean absolute percentage error, numerical illustrations show that the novel models contribute to more accurate forecasts than the Lee-Carter-based models in all three forecasting periods. Moreover, they propose a stochastic version of the multi-population Bühlmann credibility-based mortality models, which can be used to construct predictive intervals of the projected mortality rates and to conduct stochastic simulations for applications.

MSC:

91G05 Actuarial mathematics
91D20 Mathematical geography and demography
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