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Gender and country specific coherent mortality model: estimating the new Malaysian annuity factors / Nur Shatikah Mohamad Ibrahim

This study aims to forecast Malaysian mortality rates by age and gender using the Product-Ratio Coherent model and the widely used of the Lee-Carter model. There are two types of Product-Ratio Coherent model which are Product Ratio Coherent Model-Gender Coherence and Product Ratio Coherent Model-Dev...

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Main Author: Mohamad Ibrahim, Nur Shatikah
Format: Thesis
Language:English
Published: 2022
Subjects:
Demography. Population. Vital events
Demographic surveys
Online Access:https://ir.uitm.edu.my/id/eprint/78102/1/78102.pdf
https://ir.uitm.edu.my/id/eprint/78102/
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spelling my.uitm.ir.781022023-06-02T01:20:24Z https://ir.uitm.edu.my/id/eprint/78102/ Gender and country specific coherent mortality model: estimating the new Malaysian annuity factors / Nur Shatikah Mohamad Ibrahim Mohamad Ibrahim, Nur Shatikah Demography. Population. Vital events Demographic surveys This study aims to forecast Malaysian mortality rates by age and gender using the Product-Ratio Coherent model and the widely used of the Lee-Carter model. There are two types of Product-Ratio Coherent model which are Product Ratio Coherent Model-Gender Coherence and Product Ratio Coherent Model-Developed Country Coherence. These models will be fitted into the mortality data and the in-sample and out-sample errors will be evaluated, then estimate the annuity factors for Malaysian population using the mortality forecast values based on the most accurate model. Data for Malaysia is obtained from the Department of Statistics Malaysia (DoSM) whereas the data for selected developed countries of Australia, United Kingdom and Japan accessible from Human Mortality Database. Two different sets of fitting periods were determined based on the observations of changes in mortality index patterns over the years for the Lee-Carter model that are set A consists of fitting period from 1970 to 1993 whereas set B from 1970 to 2000. Whereas the Product-Ratio Coherent model used fitting period from the year 1970 to 2000. The in-sample evaluation of the Lee-Carter model and Product Ratio Coherent Model-Gender Coherence are performed using the Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC) whereas the out-sample errors are calculated using the Mean Absolute Percent Errors (MAPE) and Root Mean Square Error (RMSE). Results show that Product Ratio Coherent Model-Developed Country Coherence between Malaysia and Japan is outperformed to forecast the mortality rates of Malaysian males while Product Ratio Coherent Model-Developed Country Coherence between Malaysia and Australia, and Malaysia and United Kingdom is the best model to forecast the mortality rates of Malaysian females by having lower values of MAPE and RMSE. An estimation on annuity factors is calculated using the data of general Malaysia population and new annuity table for the year 2018 and 2030 is created. Having a newly projected annuity table is important in to order to help the government and insurance companies towards more accurate annuity product pricing, ensuring future sustainability. 2022 Thesis NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/78102/1/78102.pdf Gender and country specific coherent mortality model: estimating the new Malaysian annuity factors / Nur Shatikah Mohamad Ibrahim. (2022) Masters thesis, thesis, Universiti Teknologi MARA (UiTM).
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Demography. Population. Vital events
Demographic surveys
spellingShingle Demography. Population. Vital events
Demographic surveys
Mohamad Ibrahim, Nur Shatikah
Gender and country specific coherent mortality model: estimating the new Malaysian annuity factors / Nur Shatikah Mohamad Ibrahim
description This study aims to forecast Malaysian mortality rates by age and gender using the Product-Ratio Coherent model and the widely used of the Lee-Carter model. There are two types of Product-Ratio Coherent model which are Product Ratio Coherent Model-Gender Coherence and Product Ratio Coherent Model-Developed Country Coherence. These models will be fitted into the mortality data and the in-sample and out-sample errors will be evaluated, then estimate the annuity factors for Malaysian population using the mortality forecast values based on the most accurate model. Data for Malaysia is obtained from the Department of Statistics Malaysia (DoSM) whereas the data for selected developed countries of Australia, United Kingdom and Japan accessible from Human Mortality Database. Two different sets of fitting periods were determined based on the observations of changes in mortality index patterns over the years for the Lee-Carter model that are set A consists of fitting period from 1970 to 1993 whereas set B from 1970 to 2000. Whereas the Product-Ratio Coherent model used fitting period from the year 1970 to 2000. The in-sample evaluation of the Lee-Carter model and Product Ratio Coherent Model-Gender Coherence are performed using the Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC) whereas the out-sample errors are calculated using the Mean Absolute Percent Errors (MAPE) and Root Mean Square Error (RMSE). Results show that Product Ratio Coherent Model-Developed Country Coherence between Malaysia and Japan is outperformed to forecast the mortality rates of Malaysian males while Product Ratio Coherent Model-Developed Country Coherence between Malaysia and Australia, and Malaysia and United Kingdom is the best model to forecast the mortality rates of Malaysian females by having lower values of MAPE and RMSE. An estimation on annuity factors is calculated using the data of general Malaysia population and new annuity table for the year 2018 and 2030 is created. Having a newly projected annuity table is important in to order to help the government and insurance companies towards more accurate annuity product pricing, ensuring future sustainability.
format Thesis
author Mohamad Ibrahim, Nur Shatikah
author_facet Mohamad Ibrahim, Nur Shatikah
author_sort Mohamad Ibrahim, Nur Shatikah
title Gender and country specific coherent mortality model: estimating the new Malaysian annuity factors / Nur Shatikah Mohamad Ibrahim
title_short Gender and country specific coherent mortality model: estimating the new Malaysian annuity factors / Nur Shatikah Mohamad Ibrahim
title_full Gender and country specific coherent mortality model: estimating the new Malaysian annuity factors / Nur Shatikah Mohamad Ibrahim
title_fullStr Gender and country specific coherent mortality model: estimating the new Malaysian annuity factors / Nur Shatikah Mohamad Ibrahim
title_full_unstemmed Gender and country specific coherent mortality model: estimating the new Malaysian annuity factors / Nur Shatikah Mohamad Ibrahim
title_sort gender and country specific coherent mortality model: estimating the new malaysian annuity factors / nur shatikah mohamad ibrahim
publishDate 2022
url https://ir.uitm.edu.my/id/eprint/78102/1/78102.pdf
https://ir.uitm.edu.my/id/eprint/78102/
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score 13.211869

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