Models of Mortality rates - analysing the residuals

Colin O'Hare and Youwei Li

MPRA Paper from University Library of Munich, Germany

Abstract: The area of mortality modelling has received significant attention over the last 25 years owing to the need to quantify and forecast improving mortality rates. This need is driven primarily by the concern of governments, insurance and actuarial professionals and individuals to be able to fund their old age. In particular, to quantify the costs of increasing longevity we need suitable model of mortality rates that capture the dynamics of the data and forecast them with sufficient accuracy to make them useful. In this paper we test several of the leading time series models by considering the fitting quality and in particular, testing the residuals of those models for normality properties. In a wide ranging study considering 30 countries we find that almost exclusively the residuals do not demonstrate normality. Further, in Hurst tests of the residuals we find evidence that structure remains that is not captured by the models.

Keywords: Mortality; stochastic models; residuals; Hurst exponents (search for similar items in EconPapers)
JEL-codes: C51 C52 C53 G22 G23 J11 (search for similar items in EconPapers)
Date: 2016-05-17
New Economics Papers: this item is included in nep-age, nep-for and nep-hea
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Related works:
Journal Article: Models of mortality rates – analysing the residuals (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:71394

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