Multi-population mortality models: fitting, forecasting and comparisons. Issue 4 (21st April 2017)

• Record Type: Journal Article
• Authors: Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
• Is Part Of: Scandinavian actuarial journal. Volume 2017:Issue 4(2017)
• Page Start: 319
• Page End: 342
• Publication Date: 2017-04-21
• Subjects: Stochastic mortality model -- multi-population -- Li and Lee model -- common age effect model; Insurance, Life -- Mathematics -- Periodicals; Insurance -- Mathematics -- Periodicals; 368.01
• DOI: 10.1080/03461238.2015.1133450
• Languages: English
• ISSNs: 0346-1238

Abstract

Abstract : We review a number of multi-population mortality models: variations of the Li & Lee model, and the common-age-effect (CAE) model of Kleinow. Model parameters are estimated using maximum likelihood. Although this introduces some challenging identifiability problems and complicates the estimation process it allows a fair comparison of the different models. We propose to solve these identifiability problems by applying two-dimensional constraints over the parameters. Using data from six countries, we compare and rank, both visually and numerically, the models' fitting qualities and develop forecasting models that produce non-diverging, joint mortality rate scenarios. It is found that the CAE model fits best. But we also find that the Li and Lee model potentially suffers from robustness problems when calibrated using maximum likelihood.