Longevity forecasting by socio-economic groups using compositional data analysis

Søren Kjærgaard (), Yunus Emre Ergemen (), Marie-Pier Bergeron Boucher (), Jim Oeppen () and Malene Kallestrup-Lamb ()
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Søren Kjærgaard: University of Southern Denmark, Postal: Interdisciplinary Centre on Population Dynamics, University of Southern Denmark, J.B. Winsløws Vej 9B st. tv., 5000 Odense C, DK
Yunus Emre Ergemen: University of Aarhus and CREATES, Postal: Department of Economics and Business Economics, University of Aarhus, Fuglesangs Allé 4, Building 2621, 13, 8210 Aarhus V, DK
Marie-Pier Bergeron Boucher: University of Southern Denmark, Postal: Interdisciplinary Centre on Population Dynamics, University of Southern Denmark, J.B. Winsløws Vej 9B 1. sal, 5000 Odense C, DK
Jim Oeppen: University of Southern Denmark, Postal: Interdisciplinary Centre on Population Dynamics, University of Southern Denmark, J.B. Winsløws Vej 9B st. tv., 5000 Odense C, DK
Malene Kallestrup-Lamb: University of Aarhus and CREATES, Postal: Department of Economics and Business Economics, University of Aarhus, Fuglesangs Allé 4, Building 2631, 141a, 8210 Aarhus V, DK

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: Several OECD countries have recently implemented an automatic link between the statutory retirement age and life expectancy for the total population to insure sustainability in their pension systems when life expectancy is increasing. Significant mortality differentials are observed across socio-economic groups and future changes in these differentials will determine whether some socio-economic groups drive increases in the retirement age leaving other groups with fewer years in receipt of pensions. We forecast life expectancy by socio-economic groups and compare the forecast performance of competing models using Danish mortality data and find that the most accurate model assumes a common mortality trend. Life expectancy forecasts are used to analyse the consequences of a pension system where the statutory retirement age is increased when total life expectancy is increasing

Keywords: Compositional data; forecasting; longevity; pension; socioeconomic groups (search for similar items in EconPapers)
JEL-codes: C22 C23 C53 I12 (search for similar items in EconPapers)
Pages: 30
Date: 2019-05-09
New Economics Papers: this item is included in nep-age, nep-bec, nep-eur and nep-for
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