The model for the development of mortality probabilities is based on four stochastic processes: a) the development of mortality in Europe for males; b) the development of the deviation of Dutch mortality from Europe, for males; c) the development of mortality in Europe for females; d) the development of the deviation of Dutch mortality from Europe, for females; For the European developments a) and c) a random walk with drift model is used. For the Dutch deviations b) and d) a first order autoregressive process without constant term is used. This means that the Dutch mortality development is expected to follow the European trend over time. The four processes are estimated jointly so as to also estimate the correlations between the various processes. For European mortality, data is available up to and including 2016. For Dutch mortality, data is available up to and including 2017. To estimate the four stochastic processes jointly all processes must be based on the same period of data history. Because 2017 data is only available for The Netherlands, the European development for 2017 is determined by extrapolation of the data until 2016 (see appendix A). The correlations between the four different quantities are shown in diagram 6.2. European males -0.27 (AG2016: 0.45) 0.45 Dutch deviation males 0.54 0.93 0.40 -0.23 (AG2016: -0.21) European females Dutch deviation females Diagram 6.2 Mutual correlations between development of European mortality and development of Dutch deviation, males and females For ages over 90 there are relatively few observations. This may lead to fluctuations in the estimations of mortality probabilities. Therefore the mortality tables are ‘closed’. This means that the mortality probabilities for high ages are determined by means of an extrapolation method. As with Projections Life Table AG2016, the method of Kannisto was selected for Projections Life Table AG2018. Appendix A provides a comprehensive specification of the stochastic model used, including the model estimation method. In combination with the data set made available through the AG website, Projections Life Table AG2018 can be reconstructed exactly. Projection Table AG2018 Mortality data and model assumptions 16
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