Understanding patterns of mortality homogeneity and heterogeneity across countries and their role in modeling mortality dynamics and hedging longevity risk. (English) Zbl 1465.91098

The authors propose a methodology, based on the graduation method, to detect differences in mortality rates across different populations. Using an index \(h^2\) based on the partial standard mortality ratio, they measure mortality homogeneity and heterogeneity, then conduct an empirical study across countries with emerging and developed markets.
The results of model fitting show that it is inappropriate to use a coherent mortality model for the mortality-heterogeneous populations. It is shown that information concerning mortality homogeneity/heterogeneity can be used for pooling risk in insurance and increasing overall hedge effectiveness.


91G05 Actuarial mathematics
91D20 Mathematical geography and demography
Full Text: DOI


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