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Do different models induce changes in mortality indicators? That is a key question for extending the Lee-Carter model.

Debon, A., Haberman, S. ORCID: 0000-0003-2269-9759, Montes, F. and Otranto, E. (2021). Do different models induce changes in mortality indicators? That is a key question for extending the Lee-Carter model.. International Journal of Environmental Research and Public Health, 18(4), 2204. doi: 10.3390/ijerph18042204

Abstract

The parametric model introduced by Lee and Carter in 1992 for modeling mortality rates in the USA was a seminal development in forecasting life expectancies and has been widely used since then. Different extensions of this model, using different hypotheses about the data, constraints on the parameters, and appropriate methods have led to improvements in the model’s fit to historical data and the model’s forecasting of the future. This paper’s main objective is to evaluate if differences between models are reflected in different mortality indicators’ forecasts. To this end, nine sets of indicator predictions were generated by crossing three models and three block-bootstrap samples with each of size fifty. Later the predicted mortality indicators were compared using functional ANOVA. Models and block bootstrap procedures are applied to Spanish mortality data. Results show model, block-bootstrap, and interaction effects for all mortality indicators. Although it was not our main objective, it is essential to point out that the sample effect should not be present since they must be realizations of the same population, and therefore the procedure should lead to samples that do not influence the results. Regarding significant model effect, it follows that, although the addition of terms improves the adjustment of probabilities and translates into an effect on mortality indicators, the model’s predictions must be checked in terms of their probabilities and the mortality indicators of interest.

Publication Type: Article
Additional Information: This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Publisher Keywords: Lee-Carter models; block-bootstrap; functional ANOVA; forecasting; mortality indicators
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Actuarial Science & Insurance
Date available in CRO: 24 Feb 2021 11:33
Date deposited: 24 February 2021
Date of acceptance: 15 February 2021
Date of first online publication: 23 February 2021
URI: https://openaccess.city.ac.uk/id/eprint/25707
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