Abstract

Journal of Actuarial Practice

Volume 11, 2004

A Comparative Study of Parametric and Nonparametric Estimators of Old-Age Mortality in Sweden

Peter Fledelius, Montserrat Guillen, Jens Perch Nielsen, and Kitt Skovsų Petersen

Abstract

A recent study of Swedish old-age mortality used a modified Gompertz-Makeham model with a linear hazard for the force of mortality. We propose an alternative model using smooth two-dimensional kernel hazard estimators and introduce a new estimator based on the multiplicative bias correction for the multivariate marker dependent hazard. The multiplicative bias correction  appears to have great potential for estimating mortality rates at the highest ages. We also observe that mortality continues to increase at an  exponential rate even in old-age.

Key words and phrases: longevity, expected remaining lifetime, kernel hazard estimation

Corresponding Author:

Montserrat Guillen

Department of Econometrics

University of Barcelona

Diagonal 690

08034 Barcelona

SPAIN

E-mail: guillen@eco.ub.es

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