EconPapers    
Economics at your fingertips  
 

Hierarchical Lee-Carter model estimation through data cloning applied to demographically linked countries

Pablo J. Alonso

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Some groups of countries are connected not only economically, but also social and even demographically. This last fact can be exploited when trying to forecast the death rates of their populations. In this paper we propose a hierarchical specification of the Lee-Carter model and we assume that there is a common latent mortality factor for all of them. We introduce an estimation procedure for this kind of structures by means of a data cloning methodology. To our knowledge, this is the first time that this methodology is used in the actuarial field. It allows approximating the maximum likelihood estimates, which are not affected by the prior distributions assumed for the calculus. Finally, we apply the methodology to some France, Italy, Portugal and Spain data. The forecasts obtained using this methodology can be considered as very satisfactory.

Keywords: Projected; life; tables; Bayesian; inference; Data; cloning; Hierarchical; model; Lee-Carter; model; Longevity; risk (search for similar items in EconPapers)
Date: 2015-05-01
New Economics Papers: this item is included in nep-age, nep-ecm and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... 8ea98a1634b1/content (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws1510

Access Statistics for this paper

More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().

 
Page updated 2025-03-19
Handle: RePEc:cte:wsrepe:ws1510