Research in progress by Samuel Nocito (graduate in Economics at the University of Turin)
The work proposes a comparison between the Lee-Carter and the Cairns-Blake-Dowd mortality models, employing Italian data. The mortality projections span the period 2016-2060. The mortality data come from the Italian National Statistics Institute (ISTAT) database, and span the period 1980-2012. The results were simply numerically and graphically compared showing differences between models that evidence the existence of a model risk in annuity pension market. Moreover the life-expectancy projections of the model were compared to the ISTAT benchmark, showing divergences in prevision for the dynamic of the mortality gap between genders. The latter result demonstrates the presence of a data-choosing process risk, and reveals the importance of disclosure in using stochastic models. Moreover, the comparison is observed in the pension policy scenario, taking into consideration the role played by mortality models with the transformation coefficients.