Multi-population mortality models: fitting, forecasting and comparisons. (English) Zbl 1401.62206

Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.

Scand. Actuar. J. 2017, No. 4, 319-342 (2017).

Summary: 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.

MSC:

62P05	Applications of statistics to actuarial sciences and financial mathematics
62P25	Applications of statistics to social sciences
91B30	Risk theory, insurance (MSC2010)
91D20	Mathematical geography and demography

Keywords:

stochastic mortality model; multi-population; Li and Lee model; common age effect model

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