Short- and Long-Term Dynamics of Cause-Specific Mortality Rates Using Cointegration Analysis

Séverine Arnold and Viktoriya Glushko

North American Actuarial Journal, 2022, vol. 26, issue 2, 161-183

Abstract: This article applies cointegration analysis and vector error correction models to model the short- and long-run relationships between cause-specific mortality rates. We work with the data from five developed countries (the United States, Japan, France, England and Wales, and Australia) and split the mortality rates into five main causes of death (infectious and parasitic, cancer, circulatory diseases, respiratory diseases, and external causes). We successively adopt short- and long-term perspectives, and analyze how each cause-specific mortality rate impacts and reacts to the shocks received from the rest of the causes. We observe that the cause-specific mortality rates are closely linked to each other, apart from the external causes that show an entirely independent behavior and hence could be considered as truly exogenous. We summarize our findings with the aim to help practitioners set more informed assumptions concerning the future development of mortality.

Date: 2022
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DOI: 10.1080/10920277.2021.1874421

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