A Multi-population Approach to Forecasting All-Cause Mortality Using Cause-of-Death Mortality Data

Pintao Lyu, Anja De Waegenaere and Bertrand Melenberg

North American Actuarial Journal, 2021, vol. 25, issue S1, S421-S456

Abstract: All-cause mortality is driven by various types of cause-specific mortality. Projecting all-cause mortality based on cause-of-death mortality allows one to understand the drivers of the recent changes in all-cause mortality. However, the existing literature has argued that all-cause mortality projections based on cause-specific mortality experience have a number of serious drawbacks, including the inferior cause-of-death mortality data and the complex dependence structure between causes of death. In this article, we use the recent World Health Organization causes-of-death data to address this issue in a multipopulation context. We construct a new model in the spirit of N. Li and Lee (2005) but in terms of cause-specific mortality. A new two-step beta convergence test is used to capture the cause-specific mortality dynamics between different countries and between different causes. We show that the all-cause mortality estimations produced by the new model perform in the sample similarly to the estimations by the Lee-Carter and Li-Lee all-cause mortality models. However, in contrast to results from earlier studies, we find that the all-cause mortality projections of the new model have better out-of-sample performance in a long forecast horizon. Moreover, for the case of The Netherlands, an approximately 1-year higher remaining life expectancy projection for a 67-year-old Dutch male in a 30-year forecast horizon is obtained by this new model, compared to the all-cause Li-Lee mortality model.

Date: 2021
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Citations: View citations in EconPapers (7)

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DOI: 10.1080/10920277.2019.1662316

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