On the use of multi-population mortality models for deprivation subgroups in a population

Actuaries and demographers have shown a keen interest in the longevity improvement in the past decades since human longevity significantly affects society, especially influencing the creation of government policy for pensioners and life insurance products. Studies have shown that mortality rates have converged across populations, in which academics have been developing multi-population models to capture this phenomenon. Multi-population models can be used to assess longevity basis risk, which is the mismatch of the longevity outcome between two different populations. Longevity basis risk arises from hedging the sub-population using mortality hedging instruments based on the reference mortality rate. Good multi-population models are able to capture and reduce the basis risk along with hedging instrument. In this thesis, we study a variety of multi-population models from the literature. These models are fitted for the UK population data and the deprivation subgroups in England. Goodness-of-fit tests, and the examination of forecasting accuracy and hedging effectiveness are used to compare the multi-population models.