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

See all articles by Frank Van Berkum

Frank Van Berkum

KU Leuven - Faculty of Business and Economics (FBE)

Katrien Antonio

KU Leuven; University of Amsterdam

Michel Vellekoop

University of Amsterdam - Faculty of Economics and Business (FEB)

Date Written: January 1, 2014

Abstract

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 di fferent calibration periods and diff erent time series specifi cations, we show that our proposed methodology leads to more robust mortality projections.

Keywords: stochastic mortality; structural changes; mortality forecasting; backtesting

Suggested Citation

Van Berkum, Frank and Antonio, Katrien and Vellekoop, Michel, The Impact of Multiple Structural Changes on Mortality Predictions (January 1, 2014). Scandinavian Actuarial Journal, 2016, 7, 581-603.. Available at SSRN: https://ssrn.com/abstract=2404380 or http://dx.doi.org/10.2139/ssrn.2404380

Frank Van Berkum (Contact Author)

KU Leuven - Faculty of Business and Economics (FBE) ( email )

Naamsestraat 69
Leuven, B-3000
Belgium

Katrien Antonio

KU Leuven ( email )

Leuven, Vlaams-Brabant

HOME PAGE: http://www.econ.kuleuven.be/katrien.antonio

University of Amsterdam ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

Michel Vellekoop

University of Amsterdam - Faculty of Economics and Business (FEB) ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

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