The maximum entropy mortality model: forecasting mortality using statistical moments

Marius D. Pascariu, Adam Lenart and Vladimir Canudas-Romo

Scandinavian Actuarial Journal, 2019, vol. 2019, issue 8, 661-685

Abstract: The age-at-death distribution is a representation of the mortality experience in a population. Although it proves to be highly informative, it is often neglected when it comes to the practice of past or future mortality assessment. We propose an innovative method to mortality modeling and forecasting by making use of the location and shape measures of a density function, i.e. statistical moments. Time series methods for extrapolating a limited number of moments are used and then the reconstruction of the future age-at-death distribution is performed. The predictive power of the method seems to be net superior when compared to the results obtained using classical approaches to extrapolating age-specific-death rates, and the accuracy of the point forecast (MASE) is improved on average by 33% respective to the state-of-the-art, the Lee–Carter model. The method is tested using data from the Human Mortality Database and implemented in a publicly available R package.

Date: 2019
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DOI: 10.1080/03461238.2019.1596974

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