Abstract:

Mortality modelling has a very long history. Ulpian, perhaps considered as the first actuary, came up with the first known mortality table in A.D. 220. Over the past three to four decades, there has been an enormous growth in mortality modelling as the field of mortality risk and longevity risk has attracted great attention from academic, government and private sectors. During this talk, a brief review of some of the most well-recognized mortality models will be given. We then move onto a more specific summary on non-parametric and semi-parametric mortality modelling including some of the presenter’s own works. Contributions of these works have been made to the existing literature with focus given to the forecasting perspective of models and to the analysis of cohort effects. In particular, we apply methods familiar to the econometrics literature to the area of mortality where they are less applied.