City Research Online

A General Procedure for Constructing Mortality Models

Hunt, A. & Blake, D. (2014). A General Procedure for Constructing Mortality Models. North American Actuarial Journal, 18(1), pp. 116-138. doi: 10.1080/10920277.2013.852963


Recently a large number of new mortality models have been proposed to analyze historic mortality rates and project them into the future. Many of these suffer from being over-parametrized or have terms added in an ad hoc manner that cannot be justified in terms of demographic significance. In addition, poor specification of a model can lead to period effects in the data being wrongly attributed to cohort effects, which results in the model making implausible projections. We present a general procedure for constructing mortality models using a combination of a toolkit of functions and expert judgment. By following the general procedure, it is possible to identify sequentially every significant demographic feature in the data and give it a parametric structural form. We demonstrate using U.K. mortality data that the general procedure produces a relatively parsimonious model that nevertheless has a good fit to the data.

Publication Type: Article
Additional Information: Mortality modelling, age/period/cohort models, age period effects, cohort effects
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
PDF - Accepted Version
Download (1MB) | Preview



Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login