Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/75845
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- Title
- Mortality modelling and forecasting : a review of methods
- Related
- Annals of actuarial science, Vol. 3, No. 1/2, p.3-43
- Publisher
- Institute of Actuaries and the Faculty of Actuaries
- Date
- 2008
- FoR/RFCD Code(s)
-
010406 Stochastic Analysis and Modelling
160304 Mortality
150204 Insurance Studies
- Author/Creator
- Booth, H
- Author/Creator
- Tickle, L
- Description
- Continuing increases in life expectancy beyond previously-held limits have brought to the fore the critical importance of mortality forecasting. Significant developments in mortality forecasting since 1980 are reviewed under three broad approaches: expectation, extrapolation and explanation. Expectation is not generally a good basis for mortality forecasting, as it is subjective; expert expectations are invariably conservative. Explanation is restricted to certain causes of death with known determinants. Decomposition by cause of death poses problems associated with the lack of independence among causes and data difficulties. Most developments have been in extrapolative forecasting, and make use of statistical methods rather than models developed primarily for age-specific graduation. Methods using two-factor models (age-period or age-cohort) have been most successful. The two-factor Lee-Carter method, and, in particular, its variants, have been successful in terms of accuracy, while recent advances have improved the estimation of forecast uncertainty. Regression-based (GLM) methods have been less successful, due to nonlinearities in time. Three-factor methods are more recent; the Lee-Carter age-period cohort model appears promising. Specialised software has been developed and made available. Research needs include further comparative evaluations of methods in terms of the accuracy of the point forecast and its uncertainty, encompassing a wide range of mortality situations.
- Description
- 41 page(s)
- Subject Keyword
- 010406 Stochastic Analysis and Modelling
- Subject Keyword
- 160304 Mortality
- Subject Keyword
- 150204 Insurance Studies
- Subject Keyword
- mortality
- Subject Keyword
- forecasting
- Subject Keyword
- modelling
- Subject Keyword
- Lee-Carter
- Subject Keyword
- GLM
- Subject Keyword
- p-splines
- Subject Keyword
- cause of death
- Resource Type
- journal article
- Organisation
- Macquarie University. Dept. of Actuarial Studies
- Identifier
- http://hdl.handle.net/1959.14/75845
- Identifier
- ISSN:1748-4995
- Identifier
- mq-rm-2009002325
- Language
- eng
- Reviewed
