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Identifiability in age/period mortality models

Hunt, A. & Blake, D. ORCID: 0000-0002-2453-2090 (2020). Identifiability in age/period mortality models. Annals of Actuarial Science, 14(2), pp. 461-499. doi: 10.1017/S1748499520000111

Abstract

As the field of modelling mortality has grown in recent years, the number and importance of identifiability issues within mortality models has grown in parallel. This has led both to robustness problems and to difficulties in making projections of future mortality rates. In this paper, we present a comprehensive analysis of the identifiability issues in age/period mortality models in order to first understand them better and then to resolve them. To achieve this, we discuss how these identification issues arise, how to choose identification schemes which aid our demographic interpretation of the models and how to project the models so that our forecasts of the future do not depend upon the arbitrary choices used to identify the historical parameters estimated from historical data.

Publication Type: Article
Additional Information: This article has been published in a revised form in Annals of Actuarial Science https://www.cambridge.org/core/journals/annals-of-actuarial-science. This version is free to view and download for private research and study only. Not for re-distribution or re-use. © copyright holder.
Publisher Keywords: Mortality modelling, age/period models, identification, projection
Subjects: H Social Sciences > HC Economic History and Conditions
H Social Sciences > HG Finance
H Social Sciences > HN Social history and conditions. Social problems. Social reform
Departments: Bayes Business School > Finance
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