2019
DOI: 10.3390/econometrics7010009
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A Parametric Factor Model of the Term Structure of Mortality

Abstract: The prototypical Lee–Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are designed to influence the age groups differently via parametric loading functions. We identify four different factors: a factor common for all age groups, factors for infant and adult mortality, and a factor for the “accident hump” that primarily affects mortality o… Show more

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Cited by 8 publications
(6 citation statements)
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“…A fourth set of four papers is concerned with modeling and forecasting (Castle et al 2017;Haldrup and Rosenskjold 2019;Hetland 2018;Hoover 2020). Hetland (2018) proposes and discusses an extension of the CVAR model called the Stochastic Stationary Root Model.…”
Section: Modeling and Forecastingmentioning
confidence: 99%
See 1 more Smart Citation
“…A fourth set of four papers is concerned with modeling and forecasting (Castle et al 2017;Haldrup and Rosenskjold 2019;Hetland 2018;Hoover 2020). Hetland (2018) proposes and discusses an extension of the CVAR model called the Stochastic Stationary Root Model.…”
Section: Modeling and Forecastingmentioning
confidence: 99%
“…Because the likelihood cannot be computed in closed form, a particle filtering approximation is proposed and discussed. Haldrup and Rosenskjold (2019) consider modeling log death rates by age and time, using US and French mortality tables. They propose a parametric model and fit it with a two step procedure; this allows them to extract four common factors that are later analyzed as a CVAR.…”
Section: Modeling and Forecastingmentioning
confidence: 99%
“…4-PFM (Haldrup et al, 2019) is the model by applying Dynamic Nelson-Siegel model which forecasts term structure of interest rates used in financial market to mortality. 4-PFM is expressed in (2.3).…”
Section: -Parametric Factor Modelmentioning
confidence: 99%
“…For 'fitted accuracy' test 4-PFM is fitted in level 1 as mentioned in Section 2. The limited memory BFGS procedure (L-BFGS-B) via the R package 'optim' is used for the fitting as in Haldrup and Rosenskjold (2019). The average fitted parameters are in Table 1 and the henceforth loading values are shown in Figure 1.…”
Section: Fitted Accuracymentioning
confidence: 99%
“…The MCS procedure constructs a set of preferred models, comprising models with predictive abilities that are not significantly different from one another, for a 95% confidence level, considering the out-of-sample performance of the models (Hansen, Lunde, and Nason 2011;Bernardi and Catania 2015). Such an approach has previously been used by Shang and Haberman (2018) and Haldrup and Rosenskjold (2019) in mortality forecasting. The MCS procedure is further detailed in Appendix A-3.…”
Section: Evaluating the Models' Accuracymentioning
confidence: 99%