Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258303 
Year of Publication: 
2021
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 9 [Issue:] 12 [Article No.:] 221 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-30
Publisher: 
MDPI, Basel
Abstract: 
Recent pension reforms in Europe have implemented a link between retirement age and life expectancy. The accurate forecast of life tables and life expectancy is hence paramount for governmental policy and financial institutions. We developed a multi-population mortality model which includes a cause-specific environment using Archimedean copulae to model dependence between various groups of causes of death. For this, Dutch data on cause-of-death mortality and cause-specific mortality data from 14 comparable European countries were used. We find that the inclusion of a common factor to a cause-specific mortality context increases the robustness of the forecast and we underline that cause-specific mortality forecasts foresee a more pessimistic mortality future than general mortality models. Overall, we find that this non-trivial extension is robust to the copula specification for commonly chosen dependence parameters.
Subjects: 
mortality
cause of death
common factor
Archimedean copula
population dynamics
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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