The forecasting performance of mortality models

Hendrik Hansen ()

AStA Advances in Statistical Analysis, 2013, vol. 97, issue 1, 31 pages

Abstract: Mortality projections are of special interest in many applications. For example, they are essential in life insurances to determine the annual contributions of their members as well as for population predictions. Due to their importance, there exists a huge variety of mortality forecasting models from which to seek the best approach. In the demographic literature, statements about the quality of the various models are mostly based on empirical ex-post examinations of mortality data for very few populations. On the basis of such a small number of observations, it is impossible to precisely estimate statistical forecasting measures. We use Monte Carlo (MC) methods here to generate time trajectories of mortality tables, which form a more comprehensive basis for estimating the root-mean-square error (RMSE) of different mortality forecasts. Copyright Springer-Verlag 2013

Keywords: Mortality forecasting; Monte Carlo simulation; Lee–Carter model; Brass model (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10182-011-0186-x

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