Comparison of Stochastic Mortality Model for Wider Age Range

Authors

  • Siti Rohani Mohd Nor UNIVERSITI TEKNOLOGI MALAYSIA, SKUDAI, JOHOR
  • Fadhilah Yusof Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia (UTM), 81310 Johor Bahru, Johor, Malaysia.
  • Arifah Bahar Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia (UTM), 81310, Johor Bahru, Johor, Malaysia.

DOI:

https://doi.org/10.11113/matematika.v34.n2.1014

Abstract

The incorporation of non-linear pattern of early ages has opened new research directions on improving the existing stochastic mortality model structure. Several authors have outlined the importance of encompassing the full age range in dealing with longevity risk exposure by not to ignore the dependence between young and old age. In this study, we consider the two extensions of Cairns, Blake and Dowd model that incorporate the irregularity profile seen at the mortality of lower ages which are Plat and O’Hare and Li. The models’ performances in terms of in-sample fitting and out-sample forecasts were examined and compared. The results indicated that O’Hare and Li model performs better as compared to Plat model

Author Biographies

Fadhilah Yusof, Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia (UTM), 81310 Johor Bahru, Johor, Malaysia.

Senior Lecturer

Arifah Bahar, Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia (UTM), 81310, Johor Bahru, Johor, Malaysia.

Senior Lecturer

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Published

2018-12-30

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Section

Articles