1134 - Meng (Rose) Yu

Modeling mortality rates with approaches of the linear logarithm hazard transform

In this project, two approaches based on the linear logarithm hazard transform (LLHT) to modeling mortality rates are proposed. Empirical observations show that there is a linear relationship between two sequences of logarithm forces of mortality (hazard rates of the future lifetime) for two years. The estimated two parameters of the linear relationship can be used for forecasting mortality rates. Deterministic and stochastic mortality rates with the LLHT, Lee-Carter and CBD models are predicted, and their corresponding forecasted errors are calculated for comparing the forecasting performances. Finally, applications to pricing some mortality-linked securities based on the forecasted mortality rates are presented for illustration.