Forecasting mortality in subpopulations using Lee–Carter type models: A comparison

Ivan Luciano Danesi, Steven Haberman and Pietro Millossovich

Insurance: Mathematics and Economics, 2015, vol. 62, issue C, 151-161

Abstract: The relative performance of multipopulation stochastic mortality models is investigated. When targeting mortality rates, we consider five extensions of the well known Lee–Carter single population extrapolative approach. As an alternative, we consider similar structures when mortality improvement rates are targeted. We use a dataset of deaths and exposures of Italian regions for the years 1974–2008 to conduct a comparison of the models, running a battery of tests to assess the relative goodness of fit and forecasting capability of different approaches. Results show that the preferable models are those striking a balance between complexity and flexibility.

Keywords: Mortality forecasting; Related populations; Lee–Carter model; Improvement rates; Common period indices (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:62:y:2015:i:c:p:151-161

DOI: 10.1016/j.insmatheco.2015.03.010

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