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The impact of multiple structural changes on mortality predictions. (English) Zbl 1401.91221

Summary: Most mortality models proposed in recent literature rely on the standard ARIMA framework (in particular: a random walk with drift) to project mortality rates. As a result the projections are highly sensitive to the calibration period. We therefore analyse the impact of allowing for multiple structural changes on a large collection of mortality models. We find that this may lead to more robust projections for the period effect but that there is only a limited effect on the ranking of the models based on backtesting criteria, since there is often not yet sufficient statistical evidence for structural changes. However, there are cases for which we do find improvements in estimates and we therefore conclude that one should not exclude on beforehand that structural changes may have occurred.

MSC:

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

Software:

strucchange
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References:

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