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Forecasting mortality in subpopulations using Lee–Carter type models: A comparison

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  • Danesi, Ivan Luciano
  • Haberman, Steven
  • Millossovich, Pietro

Abstract

The relative performance of multipopulation stochastic mortality models is investigated. When targeting mortality rates, we consider five extensions of the well known Lee–Carter single population extrapolative approach. As an alternative, we consider similar structures when mortality improvement rates are targeted. We use a dataset of deaths and exposures of Italian regions for the years 1974–2008 to conduct a comparison of the models, running a battery of tests to assess the relative goodness of fit and forecasting capability of different approaches. Results show that the preferable models are those striking a balance between complexity and flexibility.

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  • Danesi, Ivan Luciano & Haberman, Steven & Millossovich, Pietro, 2015. "Forecasting mortality in subpopulations using Lee–Carter type models: A comparison," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 151-161.
    • Handle: RePEc:eee:insuma:v:62:y:2015:i:c:p:151-161
    DOI: 10.1016/j.insmatheco.2015.03.010
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    8. Giuseppina Bozzo & Susanna Levantesi & Massimiliano Menzietti, 2021. "Longevity risk and economic growth in sub-populations: evidence from Italy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 101-115, June.
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