 Multi-population mortality projection: The augmented common factor model with structural breaksPengjie Wang, Athanasios A. Pantelous and Farshid Vahid International Journal of Forecasting, 2023, vol. 39, issue 1, 450-469 Abstract: Multi-population mortality forecasting has become an increasingly important area in actuarial science and demography, as a means to avoid long-run divergence in mortality projections. This paper aims to establish a unified state-space Bayesian framework to model, estimate, and forecast mortality rates in a multi-population context. In this regard, we reformulate the augmented common factor model to account for structural/trend changes in the mortality indexes. We conduct a Bayesian analysis to make inferences and generate forecasts so that process and parameter uncertainties can be considered simultaneously and appropriately. We illustrate the efficiency of our methodology through two case studies. Both point and probabilistic forecast evaluations are considered in the empirical analysis. The derived results support the fact that the incorporation of stochastic drifts mitigates the impact of the structural changes in the time indexes on mortality projections. Keywords: Multi-population mortality projection; Augmented common factor (ACF) model; Structural/trend change; Bayesian statistics; Bayesian forecasting (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:39:y:2023:i:1:p:450-469 DOI: 10.1016/j.ijforecast.2021.12.008 Access Statistics for this article International Journal of Forecasting is currently edited by R. J. Hyndman More articles in International Journal of Forecasting from Elsevier |
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