Multi-population mortality projection: The augmented common factor model with structural breaks

Pengjie Wang

doi:10.1016/j.ijforecast.2021.12.008

2023-01-01

PRE

王鹏杰 (Pengjie Wang)

Athanasios A. Pantelous *

Farshid Vahid

DOI：10.1016/j.ijforecast.2021.12.008

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摘要

En 中文

Multi-population mortality forecasting has become an increasingly important area in actuarial science and demography, as a means to avoid long-run divergence in mortality projections. This paper aims to establish a unified state-space Bayesian framework to model, estimate, and forecast mortality rates in a multi-population context. In this regard, we reformulate the augmented common factor model to account for structural/trend changes in the mortality indexes. We conduct a Bayesian analysis to make inferences and generate forecasts so that process and parameter uncertainties can be considered simultaneously and appropriately. We illustrate the efficiency of our methodology through two case studies. Both point and probabilistic forecast evaluations are considered in the empirical analysis. The derived results support the fact that the incorporation of stochastic drifts mitigates the impact of the structural changes in the time indexes on mortality projections.(c) 2021 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Keyword:

Multi-population mortality projection

Augmented common factor (ACF) model

Structural

trend change

Bayesian statistics

Bayesian forecasting