2023 Australasian Actuarial Education and Research Symposium

Johnny Li

The Chinese University of Hong Kong

Fast estimation of the Renshaw-Haberman model and its variants

This is joint work with Yiping Guo

In mortality modelling, cohort effects are often taken into consideration as they add insights about variations in mortality across different generations. Statistically speaking, models such as the Renshaw-Haberman model may provide a better fit to historical data compared to their counterparts that incorporate no cohort effects. However, when such models are estimated using an iterative maximum likelihood method in which parameters are updated one at a time, convergence is typically slow and may not even be reached within a reasonably established maximum number of iterations. Among others, the slow convergence problem hinders the study of parameter uncertainty through bootstrapping methods. In this paper, we propose an intuitive estimation method that minimizes the sum of squared errors between actual and fitted log central death rates. The complications arising from the incorporation of cohort effects are overcome by formulating part of the optimization as a principal component analysis with missing values. Using mortality data from England and Wales and United States, we demonstrate that our proposed method produces satisfactory estimation results and is significantly more efficient compared to the traditional likelihood-based approach.