Bootstrapping the Poisson log-bilinear model for mortality forecasting

Abstract

This paper proposes bootstrap procedures for expected remaining lifetimes and life annuity single premiums in a dynamic mortality environment. Assuming a further continuation of the stable pace of mortality decline, a Poisson log-bilinear projection model is applied to the forecasting of the gender- and age-specific mortality rates for Belgium on the basis of mortality statistics relating to the period 1950–2000. Bootstrap procedures are then used to obtain confidence intervals on the aforementioned quantities.

Keywords:

• Poisson regression
• Age-sex-specific mortality
• Projected lifetables
• Mortality forecasting
• Confidence intervals
• Bootstrap

Acknowledgments

Natacha Brouhns was supported by a “Fonds Spéciaux de Recherche” research grant from the Université Catholique de Louvain. Financial support from the Belgian Society of Actuaries is also acknowledged. The support of the Belgian Government under contract “Projet d'Actions de Recherche Concertées” ARC 04/09-320 is gratefully acknowledged by Michel Denuit. Ingrid Van Keilegom benefited from financial support from the IAP research network nr. P5/24 of the Belgian Government (Belgian Science Policy).