A General Procedure for Constructing Mortality Models

Andrew Hunt and David Blake

North American Actuarial Journal, 2014, vol. 18, issue 1, 116-138

Abstract: Recently a large number of new mortality models have been proposed to analyze historic mortality rates and project them into the future. Many of these suffer from being over-parametrized or have terms added in an ad hoc manner that cannot be justified in terms of demographic significance. In addition, poor specification of a model can lead to period effects in the data being wrongly attributed to cohort effects, which results in the model making implausible projections. We present a general procedure for constructing mortality models using a combination of a toolkit of functions and expert judgment. By following the general procedure, it is possible to identify sequentially every significant demographic feature in the data and give it a parametric structural form. We demonstrate using U.K. mortality data that the general procedure produces a relatively parsimonious model that nevertheless has a good fit to the data.

Date: 2014
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Citations: View citations in EconPapers (26)

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DOI: 10.1080/10920277.2013.852963

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