Exchangeable mortality projection

Vered Shapovalov, Zinoviy Landsman, Udi Makov

Research output: Contribution to journalArticlepeer-review


In this study we derive a novel multi-population Lee-Carter type model. Specifically, we extend the Bayesian model in Czado et al. (Insur Math Econ 36:260–284, 2005) to allow exchangeability between parameters of a group of m populations. In a validation-based examination, the proposed model is found to be beneficial for several examined countries. Also, we examine changes in forecasting ability due to varying calibration periods. Our results suggest that mortality rates from a distant past are inferior to those from a more recent past.

Original languageEnglish
Pages (from-to)113-133
Number of pages21
JournalEuropean Actuarial Journal
Issue number1
StatePublished - Jun 2021

Bibliographical note

Publisher Copyright:
© 2021, EAJ Association.


  • Bayesian
  • Lee–Carter methodology
  • Mortality forecasting
  • Multi-population model
  • Optimal calibration period
  • Validation-based approach

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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