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Forecasting mortality in subpopulations using Lee-Carter type models: a comparison. (English) Zbl 1318.91109

Summary: The relative performance of multipopulation stochastic mortality models is investigated. When targeting mortality rates, we consider five extensions of the well known Lee-Carter single population extrapolative approach. As an alternative, we consider similar structures when mortality improvement rates are targeted. We use a dataset of deaths and exposures of Italian regions for the years 1974–2008 to conduct a comparison of the models, running a battery of tests to assess the relative goodness of fit and forecasting capability of different approaches. Results show that the preferable models are those striking a balance between complexity and flexibility.

MSC:

91B30 Risk theory, insurance (MSC2010)
91B70 Stochastic models in economics
91D20 Mathematical geography and demography
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