Dodd, Erengul, Forster, Jonathan J., Bijak, Jakub and Smith, Peter W. F. (2021) Stochastic modelling and projection of mortality improvements using a hybrid parametric/semi-parametric age–period–cohort model. Scandinavian Actuarial Journal, 2021 (2). pp. 134-155. doi:10.1080/03461238.2020.1815238 ISSN 0346-1238.

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Abstract

We propose a comprehensive and coherent approach for mortality projection using a maximum-likelihood method which benefits from full use of the substantial data available on mortality rates, their improvement rates, and the associated variability. Under this approach, we fit a negative binomial distribution to overcome one of the several limitations of existing approaches such as insufficiently robust mortality projections as a result of employing a model (e.g. Poisson) which provides a poor fit to the data. We also impose smoothness in parameter series which vary over age, cohort, and time in an integrated way. Generalised Additive Models (GAMs), being a flexible class of semi-parametric statistical models, allow us to differentially smooth components, such as cohorts, more heavily in areas of sparse data for the component concerned. While GAMs can provide a reasonable fit for the ages where there is adequate data, estimation and extrapolation of mortality rates using a GAM at higher ages is problematic due to high variation in crude rates. At these ages, parametric models can give a more robust fit, enabling a borrowing of strength across age groups. Our projection methodology assumes a smooth transition between a GAM at lower ages and a fully parametric model at higher ages.

Item Type:	Journal Article
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Faculty of Science, Engineering and Medicine > Science > Statistics
Library of Congress Subject Headings (LCSH):	Mortality -- Statistical methods, Life expectancy, Bayesian statistical decision theory, Projection, Linear models (Statistics)
Journal or Publication Title:	Scandinavian Actuarial Journal
Publisher:	Routledge
ISSN:	0346-1238
Official Date:	March 2021
Dates:	Date Event March 2021 Published 16 September 2020 Available 23 August 2020 Accepted 25 October 2019 Submitted
Volume:	2021
Number:	2
Page Range:	pp. 134-155
DOI:	10.1080/03461238.2020.1815238
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Open Access (Creative Commons)
Date of first compliant deposit:	31 August 2022
Date of first compliant Open Access:	31 August 2022
RIOXX Funder/Project Grant:	Project/Grant ID RIOXX Funder Name Funder ID ES/K007394/1 [ESRC] Economic and Social Research Council http://dx.doi.org/10.13039/501100000269
Is Part Of:	1

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