Measurement of Longevity Risk Using Bootstrapping for Lee–Carter and Generalised Linear Poisson Models of Mortality

摘要

This paper provides a comparative investigation of simulation strategies for measuring the longevity risk associated with predictions of mortality rates and derived estimates of life expectancy. The study considers the Lee–Carter framework and a generalised linear Poisson model for representing the dynamics of mortality, as well as enhancements that allow for joint modelling of the dispersion and the effect of using a negative binomial rather than a Poisson assumption.