Forecasting age distribution of deaths: Cumulative distribution function transformation

Han Lin Shang and Steven Haberman

Insurance: Mathematics and Economics, 2025, vol. 122, issue C, 249-261

Abstract: Like density functions, period life-table death counts are nonnegative and have a constrained integral, and thus live in a constrained nonlinear space. Implementing established modelling and forecasting methods without obeying these constraints can be problematic for such nonlinear data. We introduce cumulative distribution function transformation to forecast the life-table death counts. Using the Japanese life-table death counts obtained from the Japanese Mortality Database (2024), we evaluate the point and interval forecast accuracies of the proposed approach, which compares favourably to an existing compositional data analytic approach. The improved forecast accuracy of life-table death counts is of great interest to demographers for estimating age-specific survival probabilities and life expectancy and actuaries for determining temporary annuity prices for different ages and maturities.

Keywords: Constrained functional time series; Life-table death counts; Principal component analysis; Quantile density; Single-premium temporary annuity (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:122:y:2025:i:c:p:249-261

DOI: 10.1016/j.insmatheco.2025.03.007

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