Identifiability in age/period mortality models

Andrew Hunt and David Blake

Annals of Actuarial Science, 2020, vol. 14, issue 2, 461-499

Abstract: As the field of modelling mortality has grown in recent years, the number and importance of identifiability issues within mortality models has grown in parallel. This has led both to robustness problems and to difficulties in making projections of future mortality rates. In this paper, we present a comprehensive analysis of the identifiability issues in age/period mortality models in order to first understand them better and then to resolve them. To achieve this, we discuss how these identification issues arise, how to choose identification schemes which aid our demographic interpretation of the models and how to project the models so that our forecasts of the future do not depend upon the arbitrary choices used to identify the historical parameters estimated from historical data.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:14:y:2020:i:2:p:461-499_11

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