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Sex-specific mortality forecasting for UK countries: a coherent approach. (English) Zbl 1416.91163

Summary: This paper introduces a gender specific model for the joint mortality projection of three countries (England and Wales combined, Scotland, and Northern Ireland) of the United Kingdom. The model, called 2-tier augmented common factor model, extends the classical R. D. Lee and L. R. Carter [“Modeling and forecasting U.S. mortality”, J. Am. Stat. Assoc. 87, No. 419, 659–671 (1992; doi:10.2307/2290201)] and N. Li and R. D. Lee [“Coherent mortality forecasts for a group of populations: an extension of the Lee-Carter method”, Demography 42, No. 3, 575–594 (2005; doi:10.1353/dem.2005.0021)] models, with a common time factor for the whole UK population, a sex specific period factor for males and females, and a specific time factor for each country within each gender. As death counts in each subpopulation are modelled directly, a Poisson framework is used. Our results show that the 2-tier ACF model improves the in-sample fitting compared to the use of independent LC models for each subpopulation or of independent Li and Lee models for each couple of genders within each country. Mortality projections also show that the 2-tier ACF model produces coherent forecasts for the two genders within each country and different countries within each gender, thus avoiding the divergence issues arising when independent projections are used. The 2-tier ACF is further extended to include a cohort term to take into account the faster improvements of the UK ‘golden generation’.

MSC:

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