IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v78y2018icp339-350.html
   My bibliography  Save this article

The double-gap life expectancy forecasting model

Author

Listed:
  • Pascariu, Marius D.
  • Canudas-Romo, Vladimir
  • Vaupel, James W.

Abstract

Life expectancy is highly correlated over time among countries and between males and females. These associations can be used to improve forecasts. Here we propose a method for forecasting female life expectancy based on analysis of the gap between female life expectancy in a country compared with the record level of female life expectancy in the world. Second, to forecast male life expectancy, the gap between male life expectancy and female life expectancy in a country is analysed. We present these results for various developed countries. We compare our results with forecasts based on the Lee–Carter approach and the Cairns–Blake–Dowd strategy. We focus on forecasting life expectancy at age 0 and remaining life expectancy at age 65.

Suggested Citation

  • Pascariu, Marius D. & Canudas-Romo, Vladimir & Vaupel, James W., 2018. "The double-gap life expectancy forecasting model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 339-350.
    • Handle: RePEc:eee:insuma:v:78:y:2018:i:c:p:339-350
    DOI: 10.1016/j.insmatheco.2017.09.011
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167668717304262
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.insmatheco.2017.09.011?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Nan Li & Ronald Lee, 2005. "Coherent mortality forecasts for a group of populations: An extension of the lee-carter method," Demography, Springer;Population Association of America (PAA), vol. 42(3), pages 575-594, August.
    2. Jarner, Søren Fiig & Kryger, Esben Masotti, 2011. "Modelling Adult Mortality in Small Populations: The Saint Model," ASTIN Bulletin, Cambridge University Press, vol. 41(2), pages 377-418, November.
    3. Adrian Raftery & Jennifer Chunn & Patrick Gerland & Hana Ševčíková, 2013. "Bayesian Probabilistic Projections of Life Expectancy for All Countries," Demography, Springer;Population Association of America (PAA), vol. 50(3), pages 777-801, June.
    4. Adrian E. Raftery & Nevena Lalic & Patrick Gerland, 2014. "Joint probabilistic projection of female and male life expectancy," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 30(27), pages 795-822.
    5. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    6. Rob Hyndman & Heather Booth & Farah Yasmeen, 2013. "Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models," Demography, Springer;Population Association of America (PAA), vol. 50(1), pages 261-283, February.
    7. Jacques Vallin & France Meslé, 2009. "The Segmented Trend Line of Highest Life Expectancies," Population and Development Review, The Population Council, Inc., vol. 35(1), pages 159-187, March.
    8. Torri, Tiziana & Vaupel, James W., 2012. "Forecasting life expectancy in an international context," International Journal of Forecasting, Elsevier, vol. 28(2), pages 519-531.
    9. Heather Booth & Rob Hyndman & Leonie Tickle & Piet de Jong, 2006. "Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 15(9), pages 289-310.
    10. John Wilmoth & Sarah Zureick & Vladimir Canudas-Romo & Mie Inoue & Cheryl Sawyer, 2012. "A flexible two-dimensional mortality model for use in indirect estimation," Population Studies, Taylor & Francis Journals, vol. 66(1), pages 1-28.
    11. Andrew J. G. Cairns & David Blake & Kevin Dowd, 2006. "A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 687-718, December.
    12. Carter, Lawrence R. & Lee, Ronald D., 1992. "Modeling and forecasting US sex differentials in mortality," International Journal of Forecasting, Elsevier, vol. 8(3), pages 393-411, November.
    13. Kevin M. White, 2002. "Longevity Advances in High‐Income Countries, 1955–96," Population and Development Review, The Population Council, Inc., vol. 28(1), pages 59-76, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alvarez, Jesús-Adrián & Kallestrup-Lamb, Malene & Kjærgaard, Søren, 2021. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 363-375.
    2. Balter, Anne G. & Kallestrup-Lamb, Malene & Rangvid, Jesper, 2021. "Macro longevity risk and the choice between annuity products: Evidence from Denmark," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 355-362.
    3. Marie-Pier Bergeron-Boucher & Søren Kjærgaard & James E. Oeppen & James W. Vaupel, 2019. "The impact of the choice of life table statistics when forecasting mortality," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 41(43), pages 1235-1268.
    4. Jackie Li & Jia Liu, 2020. "A modified extreme value perspective on best-performance life expectancy," Journal of Population Research, Springer, vol. 37(4), pages 345-375, December.
    5. Yaya OlaOluwa S. & Otekunrin Oluwaseun A. & Ogbonna Ahamuefula E., 2021. "Life expectancy in West African countries: Evidence of convergence and catching up with the north," Statistics in Transition New Series, Polish Statistical Association, vol. 22(1), pages 75-88, March.
    6. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    7. Malene Kallestrup‐Lamb & Søren Kjærgaard & Carsten P. T. Rosenskjold, 2020. "Insight into stagnating adult life expectancy: Analyzing cause of death patterns across socioeconomic groups," Health Economics, John Wiley & Sons, Ltd., vol. 29(12), pages 1728-1743, December.
    8. Bergeron-Boucher, Marie-Pier & Vázquez-Castillo, Paola & Missov, Trifon, 2022. "A modal age at death approach to forecasting mortality," SocArXiv 5zr2k, Center for Open Science.
    9. Andrea Nigri & Susanna Levantesi & Jose Manuel Aburto, 2022. "Leveraging deep neural networks to estimate age-specific mortality from life expectancy at birth," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 47(8), pages 199-232.
    10. Jesús-Adrián Álvarez & Malene Kallestrup-Lamb & Søren Kjærgaard, 2020. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," CREATES Research Papers 2020-17, Department of Economics and Business Economics, Aarhus University.
    11. Andrea Nigri & Susanna Levantesi & Gabriella Piscopo, 2022. "Causes-of-Death Specific Estimates from Synthetic Health Measure: A Methodological Framework," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 162(2), pages 887-908, July.
    12. Marius D. Pascariu & Ugofilippo Basellini & José Manuel Aburto & Vladimir Canudas-Romo, 2020. "The Linear Link: Deriving Age-Specific Death Rates from Life Expectancy," Risks, MDPI, vol. 8(4), pages 1-18, October.
    13. Anne G. Balter & Malene Kallestrup-Lamb & Jesper Rangvid, 2019. "The move towards riskier pensions: The importance of mortality," CREATES Research Papers 2019-22, Department of Economics and Business Economics, Aarhus University.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    2. Marie-Pier Bergeron-Boucher & Søren Kjærgaard & James E. Oeppen & James W. Vaupel, 2019. "The impact of the choice of life table statistics when forecasting mortality," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 41(43), pages 1235-1268.
    3. Rob Hyndman & Heather Booth & Farah Yasmeen, 2013. "Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models," Demography, Springer;Population Association of America (PAA), vol. 50(1), pages 261-283, February.
    4. Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 485564, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
    5. Marie-Pier Bergeron-Boucher & Vladimir Canudas-Romo & James E. Oeppen & James W. Vaupel, 2017. "Coherent forecasts of mortality with compositional data analysis," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 37(17), pages 527-566.
    6. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    7. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2023. "Thirty years on: A review of the Lee–Carter method for forecasting mortality," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1033-1049.
    8. Wang, Hsin-Chung & Yue, Ching-Syang Jack & Chong, Chen-Tai, 2018. "Mortality models and longevity risk for small populations," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 351-359.
    9. de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2016. "Coherent modeling of male and female mortality using Lee–Carter in a complex number framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 130-137.
    10. Lenny Stoeldraijer & Coen van Duin & Leo van Wissen & Fanny Janssen, 2013. "Impact of different mortality forecasting methods and explicit assumptions on projected future life expectancy: The case of the Netherlands," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 29(13), pages 323-354.
    11. Marius D. Pascariu & Ugofilippo Basellini & José Manuel Aburto & Vladimir Canudas-Romo, 2020. "The Linear Link: Deriving Age-Specific Death Rates from Life Expectancy," Risks, MDPI, vol. 8(4), pages 1-18, October.
    12. Christina Bohk-Ewald & Marcus Ebeling & Roland Rau, 2017. "Lifespan Disparity as an Additional Indicator for Evaluating Mortality Forecasts," Demography, Springer;Population Association of America (PAA), vol. 54(4), pages 1559-1577, August.
    13. Shang, Han Lin & Haberman, Steven, 2017. "Grouped multivariate and functional time series forecasting:An application to annuity pricing," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 166-179.
    14. Farid Flici & Frédéric Planchet, 2019. "Experience Prospective Life-Tables for the Algerian Retirees," Risks, MDPI, vol. 7(2), pages 1-21, April.
    15. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2022. "Thirty years on: A review of the Lee-Carter method for forecasting mortality," SocArXiv 8u34d, Center for Open Science.
    16. Vanella, Patrizio & Deschermeier, Philipp, 2018. "A Probabilistic Cohort-Component Model for Population Forecasting - The Case of Germany," Hannover Economic Papers (HEP) dp-638, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    17. Francesco Billari & Rebecca Graziani & Eugenio Melilli, 2014. "Stochastic Population Forecasting Based on Combinations of Expert Evaluations Within the Bayesian Paradigm," Demography, Springer;Population Association of America (PAA), vol. 51(5), pages 1933-1954, October.
    18. Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
    19. Ricarda Duerst & Jonas Schöley & Christina Bohk-Ewald, 2023. "A validation workflow for mortality forecasting," MPIDR Working Papers WP-2023-020, Max Planck Institute for Demographic Research, Rostock, Germany.
    20. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:78:y:2018:i:c:p:339-350. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.