Explaining young mortality

Abstract

Stochastic modeling of mortality rates focuses on fitting linear models to logarithmically adjusted mortality data from the middle or late ages. Whilst this modeling enables insurers to project mortality rates and hence price mortality products it does not provide good fit for younger aged mortality. Mortality rates below the early 20's are important to model as they give an insight into estimates of the cohort effect for more recent years of birth. It is also important given the cumulative nature of life expectancy to be able to forecast mortality improvements at all ages. When we attempt to fit existing models to a wider age range, 5-89, rather than 20-89 or 50-89, their weaknesses are revealed as the results are not satisfactory. The linear innovations in existing models are not flexible enough to capture the non-linear profile of mortality rates that we see at the lower ages. In this paper we modify an existing 4 factor model of mortality to enable better fitting to a wider age range, and using data from seven developed countries our empirical results show that the proposed model has a better fit to the actual data, is robust, and has good forecasting ability.

StMoMo: An R Package for Stochastic Mortality Modeling

“…This includes the original Lee-Carter model, the extensions of the Lee-Carter proposed in Haberman (2003, 2006), the original CBD model, and the extended CBD models of Cairns et al (2009). In addition, all the model structures considered in Renshaw (2011), Lovász (2011) and Van Berkum, Antonio, and Vellekoop (2016), as well as the models of Plat (2009), Aro andPennanen (2011), O'Hare andLi (2012), Börger, Fleischer, and Kuksin (2013) and Alai and Sherris (2014), are part of the GAPC class of models. 3…”

A General Procedure for Constructing Mortality Models

“…These include the Lee-Carter (LC) model proposed in Lee and Carter (1992) and extensions of this, such as those of Renshaw and Haberman (2003) and Yang et al (2010). It also includes the Cairns-Blake-Dowd family of mortality models (in Cairns et al (2006a) and Cairns et al (2009)), the classic age/period/cohort model of Hobcraft et al (1982) and developments of these models such as the models proposed by Plat (2009) andO'Hare andLi (2012). In addition, it includes various other mortality models not contained within these families such as the ones proposed in Wilmoth (1990) and Aro and Pennanen (2011).…”

Trends in Mortality Decrease and Economic Growth

“…Many modifications of the original Lee-Carter model have been proposed (see, e.g., Booth et al 2002;Cairns et al 2006;Currie et al 2004;Lee and Miller 2001;O'Hare and Li 2012;Plat 2009). For a review, see Booth and Tickle (2008) and the many references therein.…”