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Fitting multi-population mortality models to socio-economic groups

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  • Wen, Jie
  • Cairns, Andrew J.G.
  • Kleinow, Torsten

Abstract

We compare results for 12 multi-population mortality models fitted to 10 distinct socio-economic groups in England, subdivided using the Index of Multiple Deprivation. Using the Bayes Information Criterion to compare models, we find that a special case of the common age effect (CAE) model fits best in a variety of situations, achieving the best balance between goodness of fit and parsimony. We provide a detailed discussion of key models to highlight which features are important. Group-specific period effects are found to be more important than group-specific age effects, and non-parametric age effects deliver significantly better results than parametric (e.g. linear) age effects. We also find that the addition of cohort effects is beneficial in some cases but not all. The preferred CAE model has the additional benefit of being coherent in the sense of Hyndman et al. ((2013) Demography 50(1), 261–283); some of the other models considered are not.

Suggested Citation

  • Wen, Jie & Cairns, Andrew J.G. & Kleinow, Torsten, 2021. "Fitting multi-population mortality models to socio-economic groups," Annals of Actuarial Science, Cambridge University Press, vol. 15(1), pages 144-172, March.
    • Handle: RePEc:cup:anacsi:v:15:y:2021:i:1:p:144-172_7
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    Cited by:

    1. Kenneth Q. Zhou & Johnny S.-H. Li & Pintao Lyu, 2024. "Bringing parametric mortality indexes to practice: a generalized CBD model with stochastic socioeconomic differentials in mortality improvements," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 295-319, April.

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