Fitting multi-population mortality models to socio-economic groups

Jie Wen, Andrew J.G. Cairns and Torsten Kleinow

Annals of Actuarial Science, 2021, vol. 15, issue 1, 144-172

Abstract: We compare results for 12 multi-population mortality models fitted to 10 distinct socio-economic groups in England, subdivided using the Index of Multiple Deprivation. Using the Bayes Information Criterion to compare models, we find that a special case of the common age effect (CAE) model fits best in a variety of situations, achieving the best balance between goodness of fit and parsimony. We provide a detailed discussion of key models to highlight which features are important. Group-specific period effects are found to be more important than group-specific age effects, and non-parametric age effects deliver significantly better results than parametric (e.g. linear) age effects. We also find that the addition of cohort effects is beneficial in some cases but not all. The preferred CAE model has the additional benefit of being coherent in the sense of Hyndman et al. ((2013) Demography 50(1), 261–283); some of the other models considered are not.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:15:y:2021:i:1:p:144-172_7

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