IDEAS home Printed from https://ideas.repec.org/a/wly/jforec/v43y2024i5p1321-1337.html
   My bibliography  Save this article

Space, mortality, and economic growth

Author

Listed:
  • Kyran Cupido
  • Petar Jevtić
  • Tim J. Boonen

Abstract

Currently, most academic research involving the mortality modeling of multiple populations mainly focuses on factor‐based approaches. Increasingly, these models are enriched with socio‐economic determinants. Yet these emerging mortality models come with little attention to interpretable spatial model features. Such features could be highly valuable to demographers and old‐age benefit providers in need of a comprehensive understanding of the impact of economic growth on mortality across space. To address this, we propose and investigate a family of models that extend the seminal Li‐Lee factor‐based stochastic mortality modeling framework to include both economic growth, as measured by the real gross domestic product (GDP), and spatial patterns of the contiguous United States mortality. Model selection performed on the introduced new class of spatial models shows that based on the AIC criteria, the introduced spatial lag of GDP with GDP (SLGG) model had the best fit. The out‐of‐sample forecast performance of SLGG model is shown to be more accurate than the well‐known Li–Lee model. When it comes to model implications, a comparison of annuity pricing across space revealed that the SLGG model admits more regional pricing differences compared to the Li‐Lee model.

Suggested Citation

  • Kyran Cupido & Petar Jevtić & Tim J. Boonen, 2024. "Space, mortality, and economic growth," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1321-1337, August.
    • Handle: RePEc:wly:jforec:v:43:y:2024:i:5:p:1321-1337
    DOI: 10.1002/for.3086
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/for.3086
    Download Restriction: no
    File URL: https://libkey.io/10.1002/for.3086?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
    ---><---

    References listed on IDEAS

    as
    1. Geng Niu & Bertrand Melenberg, 2014. "Trends in Mortality Decrease and Economic Growth," Demography, Springer;Population Association of America (PAA), vol. 51(5), pages 1755-1773, October.
    2. Li, Hong & Lu, Yang, 2017. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," ASTIN Bulletin, Cambridge University Press, vol. 47(2), pages 563-600, May.
    3. Yuhong Yang, 2005. "Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation," Biometrika, Biometrika Trust, vol. 92(4), pages 937-950, December.
    4. O’Hare, Colin & Li, Youwei, 2012. "Explaining young mortality," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 12-25.
    5. Malgorzata Seklecka & Athanasios A. Pantelous & Colin O'Hare, 2017. "Mortality effects of temperature changes in the United Kingdom," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(7), pages 824-841, November.
    6. Samir Soneji & Gary King, 2012. "Statistical Security for Social Security," Demography, Springer;Population Association of America (PAA), vol. 49(3), pages 1037-1060, August.
    7. 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.
    8. David Blake & Richard MacMinn, 2020. "Longevity Risk and Capital Markets: The 2016–2017 Update," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 1-6, December.
    9. Su, Shu & Sherris, Michael, 2012. "Heterogeneity of Australian population mortality and implications for a viable life annuity market," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 322-332.
    10. Tim J. Boonen & Hong Li, 2017. "Modeling and Forecasting Mortality With Economic Growth: A Multipopulation Approach," Demography, Springer;Population Association of America (PAA), vol. 54(5), pages 1921-1946, October.
    11. Doukhan, P. & Pommeret, D. & Rynkiewicz, J. & Salhi, Y., 2017. "A class of random field memory models for mortality forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 97-110.
    12. Han Li & Colin O’Hare, 2019. "Mortality Forecasting: How Far Back Should We Look in Time?," Risks, MDPI, vol. 7(1), pages 1-15, February.
    13. David Blake & Richard MacMinn & Jason Chenghsien Tsai & Jennifer Wang, 2020. "Longevity Risk and Capital Markets: The 2017–2018 Update," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 280-308, December.
    14. Ludkovski, Mike & Risk, Jimmy & Zail, Howard, 2018. "Gaussian Process Models For Mortality Rates And Improvement Factors," ASTIN Bulletin, Cambridge University Press, vol. 48(3), pages 1307-1347, September.
    15. Ludkovski, Mike & Risk, Jimmy & Zail, Howard, 2018. "Gaussian Process Models For Mortality Rates And Improvement Factors – Corrigendum," ASTIN Bulletin, Cambridge University Press, vol. 48(3), pages 1349-1349, September.
    16. Malgorzata Seklecka & Norazliani Md. Lazam & Athanasios A. Pantelous & Colin O'Hare, 2019. "Mortality effects of economic fluctuations in selected eurozone countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(1), pages 39-62, January.
    17. Joshua C. Hall & Donald J. Lacombe & Timothy M. Shaughnessy, 2019. "Economic Freedom And Income Levels Across U.S. States: A Spatial Panel Data Analysis," Contemporary Economic Policy, Western Economic Association International, vol. 37(1), pages 40-49, January.
    18. Franks, P. & Jerant, A.F. & Leigh, J.P. & Lee, D. & Chiem, A. & Lewis, I. & Lee, S., 2007. "Cigarette prices, smoking, and the poor: Implications of recent trends," American Journal of Public Health, American Public Health Association, vol. 97(10), pages 1873-1877.
    Full references (including those not matched with items on IDEAS)

    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. Norkhairunnisa Redzwan & Rozita Ramli, 2022. "A Bibliometric Analysis of Research on Stochastic Mortality Modelling and Forecasting," Risks, MDPI, vol. 10(10), pages 1-17, October.
    2. Wang, Pengjie & Pantelous, Athanasios A. & Vahid, Farshid, 2023. "Multi-population mortality projection: The augmented common factor model with structural breaks," International Journal of Forecasting, Elsevier, vol. 39(1), pages 450-469.
    3. 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.
    4. Nhan Huynh & Mike Ludkovski, 2021. "Joint Models for Cause-of-Death Mortality in Multiple Populations," Papers 2111.06631, arXiv.org.
    5. Li, Hong & Shi, Yanlin, 2021. "Forecasting mortality with international linkages: A global vector-autoregression approach," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 59-75.
    6. 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.
    7. Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun, 2021. "Gompertz law revisited: Forecasting mortality with a multi-factor exponential model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 268-281.
    8. Hong Li & Yanlin Shi, 2021. "Mortality Forecasting with an Age-Coherent Sparse VAR Model," Risks, MDPI, vol. 9(2), pages 1-19, February.
    9. Lydia Dutton & Athanasios A. Pantelous & Malgorzata Seklecka, 2020. "The impact of economic growth in mortality modelling for selected OECD countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 533-550, April.
    10. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
    11. Tim J. Boonen & Hong Li, 2017. "Modeling and Forecasting Mortality With Economic Growth: A Multipopulation Approach," Demography, Springer;Population Association of America (PAA), vol. 54(5), pages 1921-1946, October.
    12. Jose Garrido & Xavier Milhaud & Anani Olympio & Max Popp, 2024. "Climate Risk and its Impact on Insurance [Risque climatique et impact en assurance]," Post-Print hal-04684634, HAL.
    13. de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2020. "A more meaningful parameterization of the Lee–Carter model," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 1-8.
    14. 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.
    15. Jos'e A. Tapia Granados & Edward L. Ionides, 2024. "Income, health, and cointegration," Papers 2407.15755, arXiv.org.
    16. Feng, Lingbing & Shi, Yanlin & Chang, Le, 2021. "Forecasting mortality with a hyperbolic spatial temporal VAR model," International Journal of Forecasting, Elsevier, vol. 37(1), pages 255-273.
    17. Ka Kin Lam & Bo Wang, 2021. "Robust Non-Parametric Mortality and Fertility Modelling and Forecasting: Gaussian Process Regression Approaches," Forecasting, MDPI, vol. 3(1), pages 1-21, March.
    18. Jacie Jia Liu, 2021. "A Study on Link Functions for Modelling and Forecasting Old-Age Survival Probabilities of Australia and New Zealand," Risks, MDPI, vol. 9(1), pages 1-18, January.
    19. Thilini Dulanjali Kularatne & Jackie Li & Yanlin Shi, 2022. "Forecasting Mortality Rates with a Two-Step LASSO Based Vector Autoregressive Model," Risks, MDPI, vol. 10(11), pages 1-23, November.
    20. Romaniuk, Katarzyna, 2021. "Pension insurance schemes and moral hazard: The Pension Benefit Guaranty Corporation should restrict the insured pension plans’ portfolio policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 37-43.

    More about this item

    Statistics

    Access and download statistics

    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:wly:jforec:v:43:y:2024:i:5:p:1321-1337. 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: Wiley Content Delivery (email available below). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/2966 .

    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.