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Identifiability, cointegration and the gravity model

Hunt, A. and Blake, D. (2017). Identifiability, cointegration and the gravity model. Insurance: Mathematics and Economics, doi: 10.1016/j.insmatheco.2017.09.014

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.

Publication Type: Article
Additional Information: © 2017, Elsevier. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Publisher Keywords: Mortality modelling, Age/period/cohort models, Multi-population modelling, Coherent mortality projection, Gravity model
Departments: Cass Business School > Finance
URI: http://openaccess.city.ac.uk/id/eprint/18374
[img] Text - Accepted Version
This document is not freely accessible until 28 March 2019 due to copyright restrictions.
Available under License Creative Commons Attribution Non-commercial No Derivatives.

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