Jackie Li - Academia.edu (original) (raw)
Papers by Jackie Li
Mortality forecasts are critically important inputs to the consideration of a range of demographi... more Mortality forecasts are critically important inputs to the consideration of a range of demographically-related policy challenges facing governments in more developed countries. While methods for jointly forecasting mortality for sub-populations offer the advantage of avoiding undesirable divergence in the forecasts of related populations, little is known about whether they improve forecast accuracy. Using mortality data from ten populations, we evaluate the data fitting and forecast performance of the Poisson common factor model (PCFM) for projecting both sexes' mortality jointly against the Poisson Lee–Carter model applied separately to each sex. We find that overall the PCFM generates the more desirable results. Firstly, the PCFM ensures that the projected male-to-female ratio of death rates at each age converges to a constant in the long run. Secondly, using out-of-sample analysis, we find that the PCFM provides more accurate projection of the sex ratios of death rates, with ...
Journal of Population Research, 2016
Mortality forecasts are critically important inputs to the consideration of a range of demographi... more Mortality forecasts are critically important inputs to the consideration of a range of demographically-related policy challenges facing governments in more developed countries. While methods for jointly forecasting mortality for sub-populations offer the advantage of avoiding undesirable divergence in the forecasts of related populations, little is known about whether they improve forecast accuracy. Using mortality data from ten populations, we evaluate the data fitting and forecast performance of the Poisson common factor model (PCFM) for projecting both sexes' mortality jointly against the Poisson Lee–Carter model applied separately to each sex. We find that overall the PCFM generates the more desirable results. Firstly, the PCFM ensures that the projected male-to-female ratio of death rates at each age converges to a constant in the long run. Secondly, using out-of-sample analysis, we find that the PCFM provides more accurate projection of the sex ratios of death rates, with the advantage being greater for longer-term forecasts. Thus the PCFM offers a viable and sensible means for coherently forecasting the mortality of both sexes. There are also significant financial implications in allowing for the co-movement of mortality of females and males properly.
Journal of Population Research, 2016
Http Dx Doi Org 10 1080 10920277 2013 872983, Mar 17, 2014
ABSTRACT In this article, we propose a Bayesian multivariate framework to price reverse mortgages... more ABSTRACT In this article, we propose a Bayesian multivariate framework to price reverse mortgages that involve several risks in both insurance and financial sectors (e.g., mortality rates, interest rates, and house prices). Our method is a multivariate extension of the Bayesian risk-neutral method developed by Kogure and Kurachi. We apply the proposed method to Japanese data to examine the possibility for a successful introduction of reverse mortgages into Japan. The results suggest a promising future for this new market.
Insurance: Mathematics and Economics, 2015
ABSTRACT
Scandinavian Actuarial Journal, 2014
ABSTRACT
North American Actuarial Journal, 2014
ABSTRACT In this article, we propose a Bayesian multivariate framework to price reverse mortgages... more ABSTRACT In this article, we propose a Bayesian multivariate framework to price reverse mortgages that involve several risks in both insurance and financial sectors (e.g., mortality rates, interest rates, and house prices). Our method is a multivariate extension of the Bayesian risk-neutral method developed by Kogure and Kurachi. We apply the proposed method to Japanese data to examine the possibility for a successful introduction of reverse mortgages into Japan. The results suggest a promising future for this new market.
Population Studies, 2016
The economic implications of increasing life expectancy are important concerns for governments in... more The economic implications of increasing life expectancy are important concerns for governments in developed countries. The aims of this study were as follows: (i) to forecast mortality for 14 developed countries from 2010 to 2050, using the Poisson Common Factor Model; (ii) to project the effects of the forecast mortality patterns on support ratios; and (iii) to calculate labour force participation increases which could offset these effects. The forecast gains in life expectancy correlate negatively with current fertility. Pre-2050 support ratios are projected to fall most in Japan and east-central and southern Europe, and least in Sweden and Australia. A post-2050 recovery is projected for most east-central and southern European countries. The increases in labour force participation needed to counterbalance the effects of mortality improvement are greatest for Japan, Poland, and the Czech Republic, and least for the USA, Canada, Netherlands, and Sweden. The policy implications are discussed.
Mortality forecasts are critically important inputs to the consideration of a range of demographi... more Mortality forecasts are critically important inputs to the consideration of a range of demographically-related policy challenges facing governments in more developed countries. While methods for jointly forecasting mortality for sub-populations offer the advantage of avoiding undesirable divergence in the forecasts of related populations, little is known about whether they improve forecast accuracy. Using mortality data from ten populations, we evaluate the data fitting and forecast performance of the Poisson common factor model (PCFM) for projecting both sexes' mortality jointly against the Poisson Lee–Carter model applied separately to each sex. We find that overall the PCFM generates the more desirable results. Firstly, the PCFM ensures that the projected male-to-female ratio of death rates at each age converges to a constant in the long run. Secondly, using out-of-sample analysis, we find that the PCFM provides more accurate projection of the sex ratios of death rates, with ...
Journal of Population Research, 2016
Mortality forecasts are critically important inputs to the consideration of a range of demographi... more Mortality forecasts are critically important inputs to the consideration of a range of demographically-related policy challenges facing governments in more developed countries. While methods for jointly forecasting mortality for sub-populations offer the advantage of avoiding undesirable divergence in the forecasts of related populations, little is known about whether they improve forecast accuracy. Using mortality data from ten populations, we evaluate the data fitting and forecast performance of the Poisson common factor model (PCFM) for projecting both sexes' mortality jointly against the Poisson Lee–Carter model applied separately to each sex. We find that overall the PCFM generates the more desirable results. Firstly, the PCFM ensures that the projected male-to-female ratio of death rates at each age converges to a constant in the long run. Secondly, using out-of-sample analysis, we find that the PCFM provides more accurate projection of the sex ratios of death rates, with the advantage being greater for longer-term forecasts. Thus the PCFM offers a viable and sensible means for coherently forecasting the mortality of both sexes. There are also significant financial implications in allowing for the co-movement of mortality of females and males properly.
Journal of Population Research, 2016
Http Dx Doi Org 10 1080 10920277 2013 872983, Mar 17, 2014
ABSTRACT In this article, we propose a Bayesian multivariate framework to price reverse mortgages... more ABSTRACT In this article, we propose a Bayesian multivariate framework to price reverse mortgages that involve several risks in both insurance and financial sectors (e.g., mortality rates, interest rates, and house prices). Our method is a multivariate extension of the Bayesian risk-neutral method developed by Kogure and Kurachi. We apply the proposed method to Japanese data to examine the possibility for a successful introduction of reverse mortgages into Japan. The results suggest a promising future for this new market.
Insurance: Mathematics and Economics, 2015
ABSTRACT
Scandinavian Actuarial Journal, 2014
ABSTRACT
North American Actuarial Journal, 2014
ABSTRACT In this article, we propose a Bayesian multivariate framework to price reverse mortgages... more ABSTRACT In this article, we propose a Bayesian multivariate framework to price reverse mortgages that involve several risks in both insurance and financial sectors (e.g., mortality rates, interest rates, and house prices). Our method is a multivariate extension of the Bayesian risk-neutral method developed by Kogure and Kurachi. We apply the proposed method to Japanese data to examine the possibility for a successful introduction of reverse mortgages into Japan. The results suggest a promising future for this new market.
Population Studies, 2016
The economic implications of increasing life expectancy are important concerns for governments in... more The economic implications of increasing life expectancy are important concerns for governments in developed countries. The aims of this study were as follows: (i) to forecast mortality for 14 developed countries from 2010 to 2050, using the Poisson Common Factor Model; (ii) to project the effects of the forecast mortality patterns on support ratios; and (iii) to calculate labour force participation increases which could offset these effects. The forecast gains in life expectancy correlate negatively with current fertility. Pre-2050 support ratios are projected to fall most in Japan and east-central and southern Europe, and least in Sweden and Australia. A post-2050 recovery is projected for most east-central and southern European countries. The increases in labour force participation needed to counterbalance the effects of mortality improvement are greatest for Japan, Poland, and the Czech Republic, and least for the USA, Canada, Netherlands, and Sweden. The policy implications are discussed.