1174-Ying Zhang

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

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 for both genders of several developed countries with an age span and a wide range of fitting year spans. Empirical results show that the proposed credibility approach contributes to more accurate forecasting performances, measured by MAPE (mean absolute percentage error), than those based on the Lee-Carter model.