Statistical comparison of projection Malaysia mortality rate by using Lee-Carter model and Lee-Carter extension of Hyndman-Ullah

Kamaruddin, Halim Shukri; Ismail, Noriszura

doi:10.1063/1.5111214

Cited by 3 publications

(2 citation statements)

References 4 publications

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“…While Shair [23] found that the HU method performed better compared to LC method in forecasting Malaysia mortality. However, a study done by [24] found opposite findings with [23] when evaluating the performance of LC and HU methods. In addition, in most countries, the mortality rates among females are generally lower than males at almost all ages [25,26].…”

Section: Introductionmentioning

confidence: 82%

Point forecasts of mortality rates in Malaysia: a comparison of principal component methods

Husin

Abidin

2020

IJEECS

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<span>The problem of forecasting mortality has been widely discussed and is being considered as an important issue among actuaries and demographers. Using age and sex-specific mortality data in Malaysia, we compare and evaluate the point forecast accuracy of six principal component methods. These six methods are the Lee-Carter (LC) method, the unadjusted LC method (LCnone), the Lee-Miller (LM) variant, the Booth-Mandonald-Smith variant (BMS) and the two versions of the Hyndman-Ullah (HU). The overall performance of all methods was evaluated using out-sample forecasts based on the six error measures of three different data spanning with three different step-ahead forecasts. The data set consists of annual age-specific death rates (ASDR) for 17 age groups for both genders for the years 1980 to 2011. Results show that when the fitted period is longer, the LM method exhibits a better fit in Malaysia male ASDR and the HU6 method attains a better fit in Malaysia female ASDR. When the fitted period becomes shorter, the BMS method outperforms for male and HU1 for female ASDR. However, for overall performance, the LM method consistently outperforms others for Malaysia male ASDR and the LM and HU methods are the best good of fit for Malaysia ASDR.</span>

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Section: Introductionmentioning

confidence: 82%

Point forecasts of mortality rates in Malaysia: a comparison of principal component methods

Husin

Abidin

2020

IJEECS

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“…Hyndman-Ullah model was found to be more performing than Lee-Carter model for Malaysian mortality rates [10,11]. However, another study found that Lee-Carter model fitted and forecasted Malaysia mortality rates better than Hyndman-Ullah model [12]. Further study can be conducted to compare the performance of Lee-Carter model and Hyndman-Ullah model due to the contradictory results of the above studies.…”

Section: Introductionmentioning

confidence: 93%

Mortality Modelling Using Stochastic Mortality Models: A Study on Malaysia’s Ethnic Groups

Ng¹,

Chan²

2022

Proceedings of the International Conference on Mathematical Sciences and Statistics 2022 (ICMSS 2022)

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Globally, the life expectancy of the population has been continuously improving over the years due to healthcare and socioeconomic advancements. The rapid increase in life expectancy over the last few decades leads to an ageing population as the population lives longer. With the rise of elderly population in the society, insurance companies and pension funds need to deal with longevity risk, which is the risk of incurring greater pay-out ratios than projected as life expectancies exceed pricing assumptions. Hence, accurate mortality modelling and projection are of key interest to insurance companies, pension providers and government to minimize such risks. This study will focus on the modelling of mortality rates in Malaysia based on three main ethnic groups, namely Malay, Chinese and Indian using data from Abridged Life Tables for a 20-year period (2001-2020) obtained from Department of Statistics Malaysia. Mortality rates for six subpopulations (Malay male, Malay female, Chinese male, Chinese female, Indian male and Indian female) under 18 age groups will be modelled using three stochastic mortality models, i.e. Lee-Carter model, Hyndman-Ullah model and Augmented Common Factor model. We conclude that Hyndman-Ullah model has the best fit for past mortality rates with the lowest values of goodness-of-fit using Root Mean Square Error (RMSE) and Mean Absolute Percentage Error (MAPE). Future research can be conducted by using Hyndman-Ullah model to forecast mortality rates in Malaysia based on age, gender and ethnic groups, which can be then applied in updating pension and annuities calculations on the existing and new contracts to minimize financial losses arising from longevity risk.

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Mortality fitting and forecasting using Hyndman-Ullah model and Lee-Carter model: A study on Malaysia’s ethnic groups

Ng,

Chan

2024

The 7TH BIOMEDICAL ENGINEERING’S RECENT PROGRESS IN BIOMATERIALS, DRUGS DEVELOPMENT, AND MEDICAL DEVICES: The 15th Asian Congre

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Statistical comparison of projection Malaysia mortality rate by using Lee-Carter model and Lee-Carter extension of Hyndman-Ullah

Cited by 3 publications

References 4 publications

Point forecasts of mortality rates in Malaysia: a comparison of principal component methods

Point forecasts of mortality rates in Malaysia: a comparison of principal component methods

Mortality Modelling Using Stochastic Mortality Models: A Study on Malaysia’s Ethnic Groups

Mortality fitting and forecasting using Hyndman-Ullah model and Lee-Carter model: A study on Malaysia’s ethnic groups

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