Cohort extensions of the Poisson common factor model for modelling both genders jointly

Bowen Yang, Jackie Li and Uditha Balasooriya

Scandinavian Actuarial Journal, 2016, vol. 2016, issue 2, 93-112

Abstract: The earlier work on mortality modelling and forecasting has largely focused on the study of a single population. Recently, there is an emerging strand of literature that emphasises the interrelationship between multiple populations. In this paper, we examine some cohort extensions of the Poisson common factor model for modelling both genders jointly. The cohort effect is specified in six alternatives which are applied to data-sets from five developed regions. We find that direct parameterisation of cohort effect could improve model fitting, reduce the need for additional period factors, and produce consistent mortality forecasts for females and males. Furthermore, we find that the cohort effect appears to be gender indifferent for the populations examined and has an interaction effect with age in certain cases.

Date: 2016
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DOI: 10.1080/03461238.2014.908411

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