An investigation into parametric models for mortality projections, with applications to immediate annuitants' and life office pensioners' data

This paper investigates the use of parametric models for projecting mortali ty rates. The basic framework used is that of generalised linear and non-li near models and can be considered as an extension of the Gompertz-Makeham m odels [Forfar et al., J. Inst. Actuaries 115 (1988) 1; Trans. Faculty Actua ries 41 (1988) 97] to include calendar period. The data considered are the CMI ultimate experience for immediate annuitants (male and female) over the period 1958-1994, and for life office pensioners (male and female) over th e period 1983-1996. The modelling structure suggested by Renshaw et al. [Br itish Actuarial J. 2 (II) (1996) 449] is used to investigate the data sets pertaining to the ultimate experiences, and to determine a range of suitabl e models, analysing the data by age and calendar period. The properties of these models are investigated and recommendations are made on which models are appropriate for use in projections. The select experience for immediate annuitants' is modelled using the structure suggested by Renshaw and Haber man [Insurance: Math. Econ. 19 (2) (1997) 105]. Projected forces of mortali ty using the recommended model are given for each experience. These are com pared with the CMI projected mortality rates. (C) 2000 Elsevier Science B.V . All rights reserved.