On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England

REFERENCES

• Brouhns , N. , Denuit , M. and Vermunt , J. 2002 . A Poisson Log-Bilinear Regression Approach to the Construction of Projected Lifetables . Insurance: Mathematics and Economics , 31 : 373 – 393 .
   Web of Science ®Google Scholar
• Brown , J. R. 2002 . “ Differential Mortality and the Value of Individual Account Retirement Annuities ” . In The Distributional Aspects of Social Security and Social Security Reform , Edited by: Feldstein , M. and Liebman , J. B. 401 – 466 . Chicago : University of Chicago Press .
   Google Scholar
• Butt , Z. and Haberman , S. 2009 . Ilc: A Collection of R Functions for Fitting a Class of Lee-Carter Mortality Models Using Iterative Fitting Algorithms , Actuarial Research Paper, Cass Business School .
   Google Scholar
• Cairns , A. J. , Blake , D. , Dowd , K. , Coughlan , G. D. , Epstein , D. , Ong , A. and Balevich , I. 2009 . A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States . North American Actuarial Journal , 13 : 1 – 35 .
   Google Scholar
• Carter , L. R. and Lee , R. D. 1992 . Modeling and Forecasting US Sex Differentials in Mortality . International Journal of Forecasting , 8 : 393 – 411 .
   PubMed Web of Science ®Google Scholar
• CMI Bureau Mortality Sub-Committee . 2002 . Working Paper 1: An Interim Basis for Adjusting the ’92 Series’ Mortality Projections for Cohort Effects . CMI, London
   Google Scholar
• Coale , A. and Kisker , E. 1990 . Defects in Data on Old Age Mortality in the United States: New Procedures for Calculating Approximately Accurate Mortality Schedules and Life Tables at the Highest Ages . Asian and Pacific Population Forum , 4 : 1 – 31 .
   Google Scholar
• Coughlan , G. D. , Khalaf-Allah , M. , Ye , Y. , Kumar , S. , Cairns , A. J. , Blake , D. and Dowd , K. 2011 . Longevity Hedging 101: A Framework for Longevity Basis Risk Analysis and Hedge Effectiveness . North American Actuarial Journal , 15 : 150 – 176 .
   Google Scholar
• Court of Justice of the European Union . 2011 . Taking the Gender of the Insured Individual into Account as a Risk Factor in Insurance Contracts Constitutes Discrimination . Press Release, No 12/11
   Google Scholar
• Debón , A. , Montes , F. and Martínez-Ruiz , F. 2011 . Statistical Methods to Compare Mortality for a Group with Non-divergent Populations: An Application to Spanish Regions . European Actuarial Journal , 1 : 291 – 308 .
   Google Scholar
• Delwarde , A. , Denuit , M. , Guillén , M. and Vidiella-i Anguera , A. 2006 . Application of the Poisson Log-Bilinear Projection Model to the G5 Mortality Experience . Belgian Actuarial Bulletin , 6 : 54 – 68 .
   Google Scholar
• Denuit , M. and Goderniaux , A.-C. 2005 . Closing and Projecting Life Tables Using Log-Linear Models . Bulletin of the Swiss Association of Actuaries , 1 : 29 – 48 .
   Google Scholar
• Dowd , K. , Cairns , A. J. , Blake , D. , Coughlan , G. D. , Epstein , D. and Khalaf-Allah , M. 2010 . Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period-Ahead Density Forecasts . North American Actuarial Journal , 14 : 281 – 298 .
   Google Scholar
• Haberman , S. and Renshaw , A. 2009 . On Age-Period-Cohort Parametric Mortality Rate Projections . Insurance: Mathematics and Economics , 45 : 255 – 270 .
   Web of Science ®Google Scholar
• Hoffmann , R . 2005 . Do Socioeconomic Mortality Differences Decrease with Rising Age? . Demographic Research , 13 : 35 – 62 .
   Web of Science ®Google Scholar
• Human Mortality Database . 2012 . University of California, Berkeley (USA), and Max Planck Institute for Demographic Research (Germany) . www.mortality.org or www.humanmortality.de
   Google Scholar
• Hunt , A. and Villegas , A. 2013 . Robustness and Stability in Cohort-Based Extensions of the Lee-Carter Model of Mortality . Working paper
   Google Scholar
• Jarner , S. R. F. and Kryger , E. M. 2011 . Modelling Adult Mortality in Small Populations: The Saint Model . ASTIN Bulletin , 41 : 377 – 418 .
   Web of Science ®Google Scholar
• Johnson , B . 2011 . Deriving Trends in Life Expectancy by the National Statistics Socioeconomic Classification Using the ONS Longitudinal Study . Health Statistics Quarterly , 49 : 9 – 52 .
   Google Scholar
• Lee , R. D. and Carter , L. R. 1992 . Modeling and Forecasting U.S. Mortality . Journal of the American Statistical Association , 87 : 659 – 671 .
   Web of Science ®Google Scholar
• Li , J. S.-H. and Hardy , M. R. 2011 . Measuring Basis Risk in Longevity Hedges . North American Actuarial Journal , 15 : 177 – 200 .
   Google Scholar
• Li , N. and Lee , R. D. 2005 . Coherent Mortality Forecasts for a Group of Populations: An Extension of the Lee-Carter Method . Demography , 42 : 575 – 594 .
   PubMed Web of Science ®Google Scholar
• Liebman , J . 2002 . “ Redistribution in the Current U.S. Social Security System ” . In The Distributional Aspects of Social Security and Social Security Reform , Edited by: Feldstein , M. and Liebman , J. B. 11 – 48 . Chicago : University of Chicago Press .
   Google Scholar
• Lu , J. , Wong , W. and Bajekal , M. 2012 . Mortality Improvements by Socioeconomic Circumstances in England (1982 to 2006) . British Actuarial Journal , : doi: 10.1017/S1357321712000359
   Google Scholar
• Madrigal , A. , Matthews , F. , Patel , D. , Gaches , A. and Baxter , S. 2011 . What Longevity Predictors Should be Allowed for When Valuing Pension Scheme Liabilities . British Actuarial Journal , 16 : 1 – 38 .
   Google Scholar
• Noble , M. , Mclennan , D. , Wilkinson , K. , Whitworth , A. , Exley , S. , Barnes , H. and Dibben , C. 2007 . The English Indices of Deprivation 2007 , London : Department of Communities and Local Government .
   Google Scholar
• Norman , P. 2009 . Identifying Change over Time in Small Area Socioeconomic Deprivation . Applied Spatial Analysis and Policy , 3 : 107 – 138 .
   Google Scholar
• Norman , P. , Boyle , P. and Rees , P. 2005 . Selective Migration, Health and Deprivation: A Longitudinal Analysis . Social Science and Medicine , 60 : 2755 – 71 .
   PubMed Web of Science ®Google Scholar
• Raleigh , V. S. and Kiri , V. A. 1997 . Life Expectancy in England: Variations and Trends by Gender, Health Authority, and Level of Deprivation . Journal of Epidemiology and Community Health , 51 : 649 – 58 .
   PubMed Web of Science ®Google Scholar
• Renshaw , A. and Haberman , S. 2003 . Lee-Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections . Journal of the Royal Statistical Society C , 52 : 119 – 137 .
   Web of Science ®Google Scholar
• Renshaw , A. and Haberman , S. 2006 . A Cohort-Based Extension to the Lee-Carter Model for Mortality Reduction Factors . Insurance: Mathematics and Economics , 38 : 556 – 570 .
   Web of Science ®Google Scholar
• Richards , S . 2008 . Applying Survival Models to Pensioner Mortality Data . British Actuarial Journal , 14 : 257 – 303 .
   Google Scholar
• Russolillo , M. , Giordano , G. and Haberman , S. 2011 . Extending the LeeCarter Model: A Three-Way Decomposition . Scandinavian Actuarial Journal , 2 : 96 – 117 .
   Web of Science ®Google Scholar
• Shkolnikov , V. M. , Andreev , E. M. , Jasilionis , D. , Leinsalu , M. , Antonova , O. I. and McKee , M. 2006 . The Changing Relation between Education and Life Expectancy in Central and Eastern Europe in the 1990s . Journal of Epidemiology and Community Health , 60 : 875 – 81 .
   PubMed Web of Science ®Google Scholar
• Tarkiainen , L. , Martikainen , P. , Laaksonen , M. and Valkonen , T. 2012 . Trends in Life Expectancy by Income from 1988 to 2007: Decomposition by Age and Cause of Death . Journal of Epidemiology and Community Health , 66 : 573 – 578 .
   PubMed Web of Science ®Google Scholar
• Tuljapurkar , S. , Li , N. and Boe , C. 2000 . A Universal Pattern of Mortality Decline in the G7 Countries . Nature , 405 : 789 – 792 .
   PubMed Web of Science ®Google Scholar
• Wanless , D. , Pattison , J. , McPherson , K. , Haberman , S. , Blakemore , C. , Wong , W. and Lu , J. 2012 . Life Expectancy Past and Future Variations by Socio-economic Group in England and Wales. Longevity Science Advisory Panel . Available at www.longevitypanel.co.uk
   Google Scholar
• Willets , R . 2004 . The Cohort Effect: Insights and Explanations . British Actuarial Journal , 10 : 833 – 877 .
   Google Scholar
• Yang , S. S. and Wang , C.-W. 2013 . Pricing and Securitization of Multi-Country Longevity Risk with Mortality Dependence . Insurance: Mathematics and Economics , 52 : 157 – 169 .
   Web of Science ®Google Scholar