A multivariate approach to project the long run relationship between mortality indices for Canadian provinces

Achille Ntamjokouen, Steven Haberman, Giorgio Consigli

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

2 Scopus citations

Abstract

The cointegration approach is proposed to model cross-province mortality indices within Canada. We apply and compare the vector autoregressive model (VAR) and the vector of error correction model (VECM) derived from cointegrated models for males and females. Relying on the Johansen cointegration test, the analysis shows clearly that there is a dependence among provincial mortality indices. The two models fit well the females data. However, poor performance has been revealed for men beyond 10 years horizons. We project the mortality indices from both models and compute the annuity from the forecasts. We project the mortality indices from both models and compute the annuity from the forecasts.

Original languageBritish English
Title of host publicationMathematical and Statistical Methods for Actuarial Sciences and Finance
Pages153-161
Number of pages9
ISBN (Electronic)9783319050140
DOIs
StatePublished - 1 Jan 2014

Keywords

  • Mortality indices
  • Pricing by cohorts
  • VAR
  • VECM

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