Coherent Mortality Forecasting The Product-ratio Method with Functional Time Series Models

Rob Hyndman, Heather Booth () and Farah Yasmeen ()
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Heather Booth: Australian Demographic and Social Research Institute, The Australian National University and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales
Farah Yasmeen: Department of Econometrics and Business Statistics, Monash University

No 201116, Working Papers from ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales

Abstract: When independence is assumed, forecasts of mortality for subpopulations are almost always divergent in the long term. We propose a method for non-divergent or coherent forecasting of mortality rates for two or more subpopulations, based on functional principal components models of simple and interpretable functions of rates. The product-ratio functional forecasting method models and forecasts the geometric mean of subpopulation rates and the ratio of subpopulation rates to product rates. Coherence is imposed by constraining the forecast ratio function through stationary time series models. The method is applied to sex-specific data for Sweden and state-specific data for Australia.

Keywords: Mortality forecasting; coherent forecasts; functional data; Lee-Carter method; life expectancy; mortality; age pattern of mortality; sex-ratio (search for similar items in EconPapers)
Pages: 31 pages
Date: 2011-02
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models (2013)
Working Paper: Coherent mortality forecasting: the product-ratio method with functional time series models (2011)
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