Detecting Causality and Long-Run Equilibrium Relationships of Mortality Rates across Countries for Developing Mortality-Linked Securities

Translated Titles



黃志偉(Jr-Wei Huang);楊曉文(Sharon S. Yang)

Key Words

Mortality index ; Panel co-integration ; Causality ; 死亡率指數 ; 追蹤共整合 ; 因果關係



Volume or Term/Year and Month of Publication

45卷2期(2017 / 06 / 01)

Page #

251 - 278

Content Language


Chinese Abstract

The construction of a multi-country mortality index is essential for designing a mortality-linked security in the "Life Market". This paper investigates the relationships of mortality rates across countries. Particularly, we focus on the causality and long-run equilibrium relationships. To overcome the problem of the short time spans of mortality data sets, we adopt a panel co-integration approach instead of a traditional co-integration approach. Using the mortality index underlying the Swiss mortality bond, we detect the relationship of mortality rates in France, England, the United States, Italy, and Switzerland based on the Human Mortality Database from 1950 to 2009 as an example. We find the mortality rates in these countries exhibit co-integration effects, with a bi-directional short-run causality and long-run equilibrium relationships. However, such effects are not detected by a traditional co-integration approach. Understanding the relationships of mortality rates across countries can help in development of an effective capital market solution.

English Abstract


Topic Category 社會科學 > 經濟學
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