Article2012

A Poisson common factor model for projecting mortality and life expectancy jointly for females and males

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Insurance, Mortality, Demography, Risk Management Statistical Distribution Estimation and Applications Statistical Methods in Epidemiology

Abstract

We examine the application of a Poisson common factor model for the projection of mortality jointly for females and males. The model structure is an extension of the classical Lee-Carter method in which there is a common factor for the aggregate population, while a number of additional sex-specific factors can also be incorporated. The Poisson distribution is a natural choice for modelling the number of deaths, and its use provides a formal statistical framework for model selection, parameter estimation, and data analysis. Our results for Australian data show that this model leads to projected life expectancy values similar to those produced by the separate projection of mortality for females and males, but possesses the additional advantage of ensuring that the projected male-to-female ratio for death rates at each age converges to a constant. Moreover, the randomness of the corresponding residuals indicates that the model fit is satisfactory.

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References

1992Modeling and Forecasting U. S. Mortality 2006A cohort-based extension to the Lee–Carter model for mortality reduction factors 2002A Poisson log-bilinear regression approach to the construction of projected lifetables 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States 2005Coherent mortality forecasts for a group of populations: An extension of the lee-carter method 2001Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality 2002Applying Lee-Carter under conditions of variable mortality decline 2003Lee–Carter mortality forecasting with age-specific enhancement

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2016Multi-population mortality models: fitting, forecasting and comparisons 2013Impact of different mortality forecasting methods and explicit assumptions on projected future life expectancy: The case of the Netherlands 2017A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES 2018Advances in mortality forecasting: introduction 2015Bayesian Poisson log-bilinear models for mortality projections with multiple populations

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