Abstract This study considers data from 5 waves of the English Longitudinal Study of Ageing (ELSA). We aim to study the impact of demographic and self-rated health variables including disability and diseases on the survival of the population aged 50+. The disability variables that we consider are mobility impairment, difficulties in performing Activities of Daily Living (ADL) and Instrumental Activities of Daily Living (IADL). One of the problems with the survey study is missing observations. This may happen due to different reasons, such as errors, nonresponse and temporary withdrawals. We address this problem by applying single and multiple imputation methods. We then fit a Generalized Linear model (GLM) and Generalized Linear Mixed model (GLMM) to our data and show that a GLMM performs better than a GLM in terms of information criteria. We also look at the predictability of our models in terms of the time-dependent receiver operating characteristic (ROC) and the area of ROC, i.e. AUC. We conclude that among the disability factors, IADL and among the diseases, cancer significantly affect the survival of the English population aged 50 and older.
{"title":"Survival analysis of longitudinal data: the case of English population aged 50 and over","authors":"Marjan Qazvini","doi":"10.1017/dem.2023.3","DOIUrl":"https://doi.org/10.1017/dem.2023.3","url":null,"abstract":"Abstract This study considers data from 5 waves of the English Longitudinal Study of Ageing (ELSA). We aim to study the impact of demographic and self-rated health variables including disability and diseases on the survival of the population aged 50+. The disability variables that we consider are mobility impairment, difficulties in performing Activities of Daily Living (ADL) and Instrumental Activities of Daily Living (IADL). One of the problems with the survey study is missing observations. This may happen due to different reasons, such as errors, nonresponse and temporary withdrawals. We address this problem by applying single and multiple imputation methods. We then fit a Generalized Linear model (GLM) and Generalized Linear Mixed model (GLMM) to our data and show that a GLMM performs better than a GLM in terms of information criteria. We also look at the predictability of our models in terms of the time-dependent receiver operating characteristic (ROC) and the area of ROC, i.e. AUC. We conclude that among the disability factors, IADL and among the diseases, cancer significantly affect the survival of the English population aged 50 and older.","PeriodicalId":43286,"journal":{"name":"Journal of Demographic Economics","volume":"89 1","pages":"419 - 463"},"PeriodicalIF":1.3,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48126071","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract An ageing population increases pressure on health and social care, welfare payments and pensions in public funded systems. There is no simple measure linking population health to economic disadvantage or the resulting tax burden. We imagine a situation in which local areas are responsible for financing their own public services. We hypothesize a local tax is levied to cover healthcare costs, welfare benefits for those who are sick, and pensions. We partition the costs based on years spent in ill health, disability and pensionable years over the life course using the average costs per person per year for each. We argue that area differences in tax rates provide a summary measure of inequality since a higher tax burden would fall on areas least able to afford it. We show that a one year improvement in healthy life expectancy would add 4.5 months to life expectancy (LE) and 3.4 months to working lives whilst reducing taxes by around 0.5%. We cast doubt on the target to increase health expectancy by five years by 2035; however, were it to be achieved it would add 23 months to LE, 17 months to work expectancy and reduce taxes by 2.4%.
{"title":"Counting the cost of inequality","authors":"L. Mayhew","doi":"10.1017/dem.2023.12","DOIUrl":"https://doi.org/10.1017/dem.2023.12","url":null,"abstract":"Abstract An ageing population increases pressure on health and social care, welfare payments and pensions in public funded systems. There is no simple measure linking population health to economic disadvantage or the resulting tax burden. We imagine a situation in which local areas are responsible for financing their own public services. We hypothesize a local tax is levied to cover healthcare costs, welfare benefits for those who are sick, and pensions. We partition the costs based on years spent in ill health, disability and pensionable years over the life course using the average costs per person per year for each. We argue that area differences in tax rates provide a summary measure of inequality since a higher tax burden would fall on areas least able to afford it. We show that a one year improvement in healthy life expectancy would add 4.5 months to life expectancy (LE) and 3.4 months to working lives whilst reducing taxes by around 0.5%. We cast doubt on the target to increase health expectancy by five years by 2035; however, were it to be achieved it would add 23 months to LE, 17 months to work expectancy and reduce taxes by 2.4%.","PeriodicalId":43286,"journal":{"name":"Journal of Demographic Economics","volume":"89 1","pages":"395 - 418"},"PeriodicalIF":1.3,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48413923","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
David Blake, Nicole El Karoui, Stéphane Loisel, Richard Macminn
Abstract This special issue of the Journal of Demographic Economics contains 10 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 16: The Sixteenth International Longevity Risk and Capital Markets Solutions Conference that was held in Helsingør near Copenhagen on 13–14 August 2021. It was hosted by PerCent at Copenhagen Business School and the Pensions Institute at City, University of London.
{"title":"Longevity risk and capital markets: the 2021–22 update","authors":"David Blake, Nicole El Karoui, Stéphane Loisel, Richard Macminn","doi":"10.1017/dem.2023.2","DOIUrl":"https://doi.org/10.1017/dem.2023.2","url":null,"abstract":"Abstract This special issue of the Journal of Demographic Economics contains 10 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 16: The Sixteenth International Longevity Risk and Capital Markets Solutions Conference that was held in Helsingør near Copenhagen on 13–14 August 2021. It was hosted by PerCent at Copenhagen Business School and the Pensions Institute at City, University of London.","PeriodicalId":43286,"journal":{"name":"Journal of Demographic Economics","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135492107","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract The starting point of our research is the inadequacy of assuming, in the construction of a model of mortality, that frailty is constant for the individuals comprising a demographic population. This assumption is implicitly made by standard life table techniques. The substantial differences in the individual susceptibility to specific causes of death lead to heterogeneity in frailty, and this can have a material effect on mortality models and projections—specifically a bias due to the underestimation of longevity improvements. Given these considerations, in order to overcome the misrepresentation of the future mortality evolution, we develop a stochastic model based on a stratification weighting mechanism, which takes into account heterogeneity in frailty. Furthermore, the stratified stochastic model has been adapted also to capture COVID-19 frailty heterogeneity, that is a frailty worsening due to the COVID-19 virus. Based on different frailty levels characterizing a population, which affect mortality differentials, the analysis allows for forecasting the temporary excess of deaths by the stratification schemes in a stochastic environment.
{"title":"Effect of the COVID-19 frailty heterogeneity on the future evolution of mortality by stratified weighting","authors":"Maria Carannante, V. D'Amato, S. Haberman","doi":"10.1017/dem.2023.4","DOIUrl":"https://doi.org/10.1017/dem.2023.4","url":null,"abstract":"Abstract The starting point of our research is the inadequacy of assuming, in the construction of a model of mortality, that frailty is constant for the individuals comprising a demographic population. This assumption is implicitly made by standard life table techniques. The substantial differences in the individual susceptibility to specific causes of death lead to heterogeneity in frailty, and this can have a material effect on mortality models and projections—specifically a bias due to the underestimation of longevity improvements. Given these considerations, in order to overcome the misrepresentation of the future mortality evolution, we develop a stochastic model based on a stratification weighting mechanism, which takes into account heterogeneity in frailty. Furthermore, the stratified stochastic model has been adapted also to capture COVID-19 frailty heterogeneity, that is a frailty worsening due to the COVID-19 virus. Based on different frailty levels characterizing a population, which affect mortality differentials, the analysis allows for forecasting the temporary excess of deaths by the stratification schemes in a stochastic environment.","PeriodicalId":43286,"journal":{"name":"Journal of Demographic Economics","volume":"89 1","pages":"513 - 532"},"PeriodicalIF":1.3,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41692715","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract Longevity risk is the risk that people on average will live longer than expected. That potential increase in life expectancy exposes corporations and pension funds to the risk of having insufficient funds to pay a more extended stream of annuity benefits. Buy-ins, buy-outs, and longevity bonds provide pension funds with insurance and financial market instruments to hedge their longevity risk. The most straightforward instruments and the most robust markets are currently for buy-ins and buy-outs. The model developed here shows that these instruments transfer value to pension holders and, other things being equal, would not be used by firms since shareholder value is reduced. The analysis, however, also shows that these instruments can be used to solve the under-investment problem created by underfunded pension plans and so increase not only the pension fund value but also the corporate stock value.
{"title":"Buy-ins, buy-outs, longevity bonds, and the creation of value","authors":"R. MacMinn, Yi-Jia Lin, Tianxiang Shi","doi":"10.1017/dem.2023.7","DOIUrl":"https://doi.org/10.1017/dem.2023.7","url":null,"abstract":"Abstract Longevity risk is the risk that people on average will live longer than expected. That potential increase in life expectancy exposes corporations and pension funds to the risk of having insufficient funds to pay a more extended stream of annuity benefits. Buy-ins, buy-outs, and longevity bonds provide pension funds with insurance and financial market instruments to hedge their longevity risk. The most straightforward instruments and the most robust markets are currently for buy-ins and buy-outs. The model developed here shows that these instruments transfer value to pension holders and, other things being equal, would not be used by firms since shareholder value is reduced. The analysis, however, also shows that these instruments can be used to solve the under-investment problem created by underfunded pension plans and so increase not only the pension fund value but also the corporate stock value.","PeriodicalId":43286,"journal":{"name":"Journal of Demographic Economics","volume":"89 1","pages":"329 - 347"},"PeriodicalIF":1.3,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45295923","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract Mortality shocks such as the one induced by the COVID-19 pandemic have substantial impact on mortality models. We describe how to deal with them in the period effect of the Lee–Carter model. The main idea is to not rely on the usual normal distribution assumption as it is not always justified. We consider a mixture distribution model based on the peaks-over-threshold method, a jump model, and a regime switching model and introduce a modified calibration procedure to account for the fact that varying amounts of data are necessary for calibrating different parts of these models. We perform an extensive empirical study for nine European countries, comparing the models with respect to their parameters, quality of fit, and forecasting performance. Moreover, we define five exemplary scenarios regarding the future development of pandemic-related mortality. As a result of our evaluations, we recommend the peaks-over-threshold approach for applications with a possibility of extreme mortality events.
{"title":"Accounting for COVID-19-type shocks in mortality modeling: a comparative study","authors":"Simon Schnürch, T. Kleinow, A. Wagner","doi":"10.1017/dem.2023.9","DOIUrl":"https://doi.org/10.1017/dem.2023.9","url":null,"abstract":"Abstract Mortality shocks such as the one induced by the COVID-19 pandemic have substantial impact on mortality models. We describe how to deal with them in the period effect of the Lee–Carter model. The main idea is to not rely on the usual normal distribution assumption as it is not always justified. We consider a mixture distribution model based on the peaks-over-threshold method, a jump model, and a regime switching model and introduce a modified calibration procedure to account for the fact that varying amounts of data are necessary for calibrating different parts of these models. We perform an extensive empirical study for nine European countries, comparing the models with respect to their parameters, quality of fit, and forecasting performance. Moreover, we define five exemplary scenarios regarding the future development of pandemic-related mortality. As a result of our evaluations, we recommend the peaks-over-threshold approach for applications with a possibility of extreme mortality events.","PeriodicalId":43286,"journal":{"name":"Journal of Demographic Economics","volume":"89 1","pages":"483 - 512"},"PeriodicalIF":1.3,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42739942","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract This paper provides a new market consistent approach to the valuation of no negative equity guarantees and equity release mortgages. The paper provides a new approach to the estimation of volatility inputs. The proposed approach to volatility produces a volatility term structure that is dependent on the age and gender of the borrower. Illustrative valuations are provided based on the Black ’76 put pricing formula and mortality projections based on the M5 Cairns–Blake–Dowd mortality model. Results show interesting ramifications for industry practice and prudential regulation.
{"title":"A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages","authors":"D. Buckner, K. Dowd, H. Hulley","doi":"10.1017/dem.2023.6","DOIUrl":"https://doi.org/10.1017/dem.2023.6","url":null,"abstract":"Abstract This paper provides a new market consistent approach to the valuation of no negative equity guarantees and equity release mortgages. The paper provides a new approach to the estimation of volatility inputs. The proposed approach to volatility produces a volatility term structure that is dependent on the age and gender of the borrower. Illustrative valuations are provided based on the Black ’76 put pricing formula and mortality projections based on the M5 Cairns–Blake–Dowd mortality model. Results show interesting ramifications for industry practice and prudential regulation.","PeriodicalId":43286,"journal":{"name":"Journal of Demographic Economics","volume":"89 1","pages":"349 - 372"},"PeriodicalIF":1.3,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41637345","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract Pension risk transfer and longevity risk transfer are now growing secular trends. From North America to Europe, companies are de-risking pension plans in near-record volumes and have continued to boldly do so throughout the pandemic—at or near the most favorable pricing experienced in years. The arrival of funded reinsurance on both sides of the Atlantic is bringing reinsurer capital and private assets to support the steady growth in the pension risk transfer market. Additionally, we have observed that the enduring low-rate environment and quest for uncorrelated risk has the world's largest investors directing billions into life reinsurance sidecars. How have these markets thrived during the worst global outbreak in a century? Key research on the pandemic's impact on pensioner life expectancy allowed prices to be set and transactions to proceed through a time of significant uncertainty.
{"title":"Resilience in a time of crisis: how COVID-19 pandemic insights are supporting a vibrant longevity risk transfer market","authors":"Amy R. Kessler","doi":"10.1017/dem.2023.5","DOIUrl":"https://doi.org/10.1017/dem.2023.5","url":null,"abstract":"Abstract Pension risk transfer and longevity risk transfer are now growing secular trends. From North America to Europe, companies are de-risking pension plans in near-record volumes and have continued to boldly do so throughout the pandemic—at or near the most favorable pricing experienced in years. The arrival of funded reinsurance on both sides of the Atlantic is bringing reinsurer capital and private assets to support the steady growth in the pension risk transfer market. Additionally, we have observed that the enduring low-rate environment and quest for uncorrelated risk has the world's largest investors directing billions into life reinsurance sidecars. How have these markets thrived during the worst global outbreak in a century? Key research on the pandemic's impact on pensioner life expectancy allowed prices to be set and transactions to proceed through a time of significant uncertainty.","PeriodicalId":43286,"journal":{"name":"Journal of Demographic Economics","volume":"89 1","pages":"313 - 327"},"PeriodicalIF":1.3,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41581075","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Theoretical models have ambiguous predictions on how workplace gender composition affects the incidence of marriage. Marital search theory suggests that having more opportunities for interactions between members of the opposite gender increases the likelihood of marriage. Yet, according to overload choice theory, people with more options could actually delay or forgo marriage if the increase in the number of choices makes it more difficult for them to make marriage decisions. I explore how changes in the gender composition within occupation and industry over the past 40 years affect marriage decisions. I find that a higher share of opposite gender coworkers within a person's occupation-industry is associated with a decreased likelihood of ever having been married.
{"title":"Gender composition in the workplace and marriage rates","authors":"Shiyi Chen","doi":"10.1017/dem.2023.20","DOIUrl":"https://doi.org/10.1017/dem.2023.20","url":null,"abstract":"\u0000 Theoretical models have ambiguous predictions on how workplace gender composition affects the incidence of marriage. Marital search theory suggests that having more opportunities for interactions between members of the opposite gender increases the likelihood of marriage. Yet, according to overload choice theory, people with more options could actually delay or forgo marriage if the increase in the number of choices makes it more difficult for them to make marriage decisions. I explore how changes in the gender composition within occupation and industry over the past 40 years affect marriage decisions. I find that a higher share of opposite gender coworkers within a person's occupation-industry is associated with a decreased likelihood of ever having been married.","PeriodicalId":43286,"journal":{"name":"Journal of Demographic Economics","volume":" ","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44794034","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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