The Impact of Multiple Structural Changes on Mortality Predictions
Scandinavian Actuarial Journal, 2016, 7, 581-603.
24 Pages Posted: 5 Mar 2014 Last revised: 17 May 2017
Date Written: January 1, 2014
Most mortality models proposed in recent literature rely on the standard ARIMA-framework (in particular: a random walk with drift) to project mortality rates. As a result the projections are highly sensitive to the calibration period. We apply a modelling strategy for the time-dependent parameters in a large collection of mortality models that allows for objective, statistical detection of one or more structural changes. By comparing projections based on different calibration periods and different time series specifications, we show that our proposed methodology leads to more robust mortality projections.
Keywords: stochastic mortality; structural changes; mortality forecasting; backtesting
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