A Multi-Dimensional Bühlmann Credibility Approach to Modeling Multi-Population Mortality Rates

Author: 
Date created: 
2017-06-08
Identifier: 
etd10191
Keywords: 
Bühlmann Credibility Theory
Lee-Carter Model
Mortality Model
Abstract: 

In this project, we first propose a multi-dimensional Bühlmann credibility approach to forecasting mortality rates for multiple populations, and then compare forecasting performances among the proposed approach and the joint-k/co-integrated/augmented common factor Lee-Carter models. The model is applied to mortality data of the Human Mortality Database for both genders of three well-developed countries with an age span and a wide range of fitting year spans. Empirical illustrations show that the proposed multi-dimensional Bühlmann credibility approach contributes to more accurate forecast results, measured by MAPE (mean absolute percentage error), than those based on the Lee-Carter model.

Document type: 
Graduating extended essay / Research project
Rights: 
This thesis may be printed or downloaded for non-commercial research and scholarly purposes. Copyright remains with the author.
File(s): 
Supervisor(s): 
Cary Chi-Liang Tsai
Department: 
Science: Department of Statistics and Actuarial Science
Thesis type: 
(Project) M.Sc.
Statistics: