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    Dynamic mortality modelling: fitting a parametric model to Kenyan insurance mortality data and parameter estimation in a VAR/VECM system

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    Date
    2015
    Author
    Asimba, Geylord Allan
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    Abstract
    This is among pioneer studies on Modelling Kenyan Mortality using a parametric model. Kenyan insurers have not embraced the use of complex approaches to modelling mortality. They have concentrated on modelling expected returns on investments which they believe is a more significant assumption. Lack of sufficient mortality data has also hindered modelling future mortality. This paper uses four years Kenyan Insurance Mortality data (2007-2010) to assess the appropriateness of the Heligman Pollard Model in modelling Kenyan Mortality. The rates between 2007 and 2009 are used in a VAR system to obtain 2010 rates and a comparison of the HP output and the real rates done. Further, parameter estimates for 2011 are done and the general trend in the movement of parameters over the 5 years discussed. The Heligman Pollard is used in this paper because it captures the whole mortality curve well and also it has recently been used to model South Africa mortality.
    URI
    http://hdl.handle.net/11071/5085
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    • BBSA Research Projects (2015) [27]

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