Related papers: Forecasting age distribution of death counts: An a…
In this paper, we provide a comprehensive cross-country validation study of compositional mortality modeling and forecasting methods. Thus, we consider two one-to-one transformations: the cumulative distribution function and the centered…
Like density functions, period life-table death counts are nonnegative and have a constrained integral, and thus live in a constrained nonlinear space. Implementing established modelling and forecasting methods without obeying these…
We introduce a compositional power transformation, known as an {\alpha}-transformation, to model and forecast a time series of life-table death counts, possibly with zero counts observed at older ages. As a generalisation of the isometric…
Age-specific life-table death counts observed over time are examples of densities. Non-negativity and summability are constraints that sometimes require modifications of standard linear statistical methods. The centered log-ratio…
Existing mortality forecasting methods focus on age-specific mortality rates, which lie in an unconstrained space and overlook the distributional nature of life-table death counts. Few studies have developed and compared forecasting methods…
When modeling sub-national mortality rates, it is important to incorporate any possible correlation among sub-populations to improve forecast accuracy. Moreover, forecasts at the sub-national level should aggregate consistently across the…
Age-specific mortality rates are often disaggregated by different attributes, such as sex, state, ethnic group and socioeconomic status. In making social policies and pricing annuity at national and subnational levels, it is important not…
We introduce a nonparametric bootstrap procedure based on a dynamic factor model to construct pointwise prediction intervals for period life-table death counts. The age distribution of death counts is an example of constrained data, which…
An essential input of annuity pricing is the future retiree mortality. From observed age-specific mortality data, modeling and forecasting can be taken place in two routes. On the one hand, we can first truncate the available data to…
\noindent The modal age at death is an increasingly used measure for understanding longevity and mortality patterns. However, existing estimation methods focus on point estimates, overlooking the inherent variability and uncertainty in…
A multilevel functional data method is adapted for forecasting age-specific mortality for two or more populations in developed countries with high-quality vital registration systems. It uses multilevel functional principal component…
We introduce a model-agnostic procedure to construct prediction intervals for the age distribution of deaths. The age distribution of deaths is an example of constrained data, which are nonnegative and have a constrained integral. A…
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality…
In demographic literature, forecast uncertainty is often quantified with a statistical model. This model-based approach may potentially suffer from drawbacks, namely model misspecification, selection effect, and lack of finite-sample…
Mortality rates are often disaggregated by different attributes, such as sex, state, education, religion or ethnicity. Forecasting mortality rates at the national and sub-national levels plays an important role in making social policies…
Forecasts of mortality provide vital information about future populations, with implications for pension and health-care policy as well as for decisions made by private companies about life insurance and annuity pricing. Stochastic…
Understanding and forecasting mortality by cause is an essential branch of actuarial science, with wide-ranging implications for decision-makers in public policy and industry. To accurately capture trends in cause-specific mortality, it is…
A robust multilevel functional data method is proposed to forecast age-specific mortality rate and life expectancy for two or more populations in developed countries with high-quality vital registration systems. It uses a robust multilevel…
In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at integer ages but no information about the distribution of…
Age-specific mortality rates are often disaggregated by different attributes, such as sex, state and ethnicity. Forecasting age-specific mortality rates at the national and sub-national levels plays an important role in developing social…