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Identifiability, cointegration and the gravity model

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  • Hunt, Andrew
  • Blake, David

Abstract

The gravity model of Dowd et al. (2011) was introduced in order to achieve coherent projections of mortality between two related populations. However, this model as originally formulated is not well-identified since it gives projections which depend on the arbitrary identifiability constraints imposed on the underlying mortality model when fitting it to data. In this paper, we discuss how the gravity model can be modified to give well-identified projections of mortality rates and how this result can be generalised to more complicated mortality models.

Suggested Citation

  • Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
    • Handle: RePEc:eee:insuma:v:78:y:2018:i:c:p:360-368
    DOI: 10.1016/j.insmatheco.2017.09.014
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    Cited by:

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    4. Hong Li & Yanlin Shi, 2021. "Mortality Forecasting with an Age-Coherent Sparse VAR Model," Risks, MDPI, vol. 9(2), pages 1-19, February.
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    7. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.

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    More about this item

    Keywords

    Mortality modelling; Age/period/cohort models; Multi-population modelling; Coherent mortality projection; Gravity model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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