Gompertz law revisited: Forecasting mortality with a multi-factor exponential model

Hong Li (), Ken Seng Tan, Shripad Tuljapurkar and Wenjun Zhu

Insurance: Mathematics and Economics, 2021, vol. 99, issue C, 268-281

Abstract: This paper provides a flexible way to address some ongoing challenges in mortality modeling, with a special focus on the mortality curvature and possible mortality plateau for extremely old ages. In particular, we extend the Gompertz law by proposing a multi-factor exponential model, a framework that is able to capture flexible mortality patterns, and allows for a convenient estimation and prediction algorithm. An extensive empirical analysis is conducted using the proposed framework with a merged mortality database containing a large number of countries and regions with credible old-age mortality data. We find that the proposed exponential model leads to superior goodness-of-fit to historical data, and better out-of-sample forecasting performance. Moreover, the exponential model predicts more balanced mortality improvements across ages, and thus leads to higher projected remaining life expectancy for the old ages than existing Gompertz-based mortality models. Finally, the modeling capacity of the proposed exponential model is further demonstrated by a multi-population extension, and an illustrative example of estimation and forecast is provided.

Keywords: Old age mortality forecasting; Gompertz law; Factor model; Mortality curvature; Mortality plateau (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:99:y:2021:i:c:p:268-281

DOI: 10.1016/j.insmatheco.2021.03.018

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