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Forecasting mortality in subpopulations using Lee-Carter type models: A comparison

Danesi, I. L., Haberman, S. & Millossovich, P. (2015). Forecasting mortality in subpopulations using Lee-Carter type models: A comparison. Insurance: Mathematics and Economics, 62, pp. 151-161. doi: 10.1016/j.insmatheco.2015.03.010


The relative performance of multipopulation stochastic mortality models is investigated. When targeting mortality rates, we consider five extensions of the well known Lee–Carter single population extrapolative approach. As an alternative, we consider similar structures when mortality improvement rates are targeted. We use a dataset of deaths and exposures of Italian regions for the years 1974–2008 to conduct a comparison of the models, running a battery of tests to assess the relative goodness of fit and forecasting capability of different approaches. Results show that the preferable models are those striking a balance between complexity and flexibility.

Publication Type: Article
Additional Information: © 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Publisher Keywords: Mortality forecasting; Related populations; Lee–Carter model; Improvement rates; Common period indices
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Actuarial Science & Insurance
Text - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

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