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Mortality modelling. Model specification and mortality forecast accuracy

Author

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  • Marcin Bartkowiak

    (Uniwersytet Ekonomiczny w Poznaniu, Wydział Informatyki i Gospodarki Elektronicznej, Katedra Matematyki Stosowanej)

Abstract

There has recently been a huge increase in the use of models which examine the structure of mortality rates across the dimensions of age, period and cohort. The goal of the article is to analyze the impact of mortality model specifications on its forecasting properties.

Suggested Citation

  • Marcin Bartkowiak, 2018. "Mortality modelling. Model specification and mortality forecast accuracy," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 13-36.
    • Handle: RePEc:sgh:annals:i:51:y:2018:p:13-36
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    References listed on IDEAS

    as
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    2. Plat, Richard, 2009. "On stochastic mortality modeling," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 393-404, December.
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    4. Renshaw, A.E. & Haberman, S., 2006. "A cohort-based extension to the Lee-Carter model for mortality reduction factors," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 556-570, June.
    5. 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.
    6. Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K., 2002. "A Poisson log-bilinear regression approach to the construction of projected lifetables," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 373-393, December.
    7. Andrew Hunt & David Blake, 2014. "A General Procedure for Constructing Mortality Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 116-138.
    8. 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.
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