Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 26, 2010 erstellt
Description:
In this paper I consider the forecasting of the post age 60 mortality rates. Realistic and robust forecast of mortality curves are important for pricing the risk associated with aggregate mortality improvements over time, the so-called longevity risk. On the basis of the Renshaw and Haberman model I introduce a new way of projecting the cohort effect for higher ages for a certain period. At first I estimate the cohort effect for a broader age group (25 to 99) and for the higher age group (60 to 99), respectively. The broader age group delivers estimates of the cohort effect closer to the present date. These additional information about the cohort effect are adapted to the estimates for the higher age group and generate forecast about the cohort effect at higher ages. This method produces realistic projections of mortality rates at higher ages with less uncertainty about the future development. This approach of orecasting can even be transfered to other mortality models with cohort effects