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Mortality Projection Based on the Wang Transform

Published online by Cambridge University Press:  17 April 2015

Piet De Jong  and
Claymore Marshall
Piet De Jong
Affiliation:
Department of Actuarial Studies, Macquarie University, NSW 2109, Australia, Email: piet.dejong@mq.edu.au
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Abstract

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A new method for analysing and projecting mortality is proposed and examined. The method takes observed time series of survival probabilities, finds the corresponding z-scores in the standard normal distribution and forecasts the z-scores. The z-scores appear to follow a common simple linear progression in time and hence forecasting is straightforward. Analysis on the z-score scale offers useful insights into the way mortality evolves over time. The method and extensions are applied to Australian female mortality data to derive projections to the year 2100 in both survival probabilities and expectations of life.

Keywords

MortalityforecastingWang transform

Information

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 37 , Issue 1 , May 2007 , pp. 149 - 161
Copyright
Copyright © ASTIN Bulletin 2007

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