A Study on Link Functions for Modelling and Forecasting Old-Age Survival Probabilities of Australia and New Zealand

Jacie Jia Liu
Additional contact information
Jacie Jia Liu: Department of Economics, Finance and Property, School of Business, Western Sydney University, Narellan Rd & Gilchrist Dr, Campbelltown, NSW 2560, Australia

Risks, 2021, vol. 9, issue 1, 1-18

Abstract: Forecasting survival probabilities and life expectancies is an important exercise for actuaries, demographers, and social planners. In this paper, we examine extensively a number of link functions on survival probabilities and model the evolution of period survival curves of lives aged 60 over time for the elderly populations in Australasia. The link functions under examination include the newly proposed gevit and gevmin, which are compared against the traditional ones like probit, complementary log-log, and logit. We project the model parameters and so the survival probabilities into the future, from which life expectancies at old ages can be forecasted. We find that some of these models on survival probabilities, particularly those based on the new links, can provide superior fitting results and forecasting performances when compared to the more conventional approach of modelling mortality rates. Furthermore, we demonstrate how these survival probability models can be extended to incorporate extra explanatory variables such as macroeconomic factors in order to further improve the forecasting performance.

Keywords: projection model; survival probability; life expectancy (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-9091/9/1/11/pdf (application/pdf)
https://www.mdpi.com/2227-9091/9/1/11/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:9:y:2021:i:1:p:11-:d:473947

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().