A DSA Algorithm for Mortality Forecasting
34 Pages Posted: 8 Mar 2020 Last revised: 10 Jun 2020
Date Written: January 4, 2020
Borrowing information from populations with similar structural mortality patterns and trajectories has been well recognized as a useful strategy for the mortality forecasting of a target population. This paper presents a flexible framework for the selection of populations from a given candidate pool to assist a target population in mortality forecasting. The defining feature of the framework is the deletion-substitution-addition (DSA) algorithm, which is entirely data-driven and versatile to work with any multiple-population model for mortality prediction. In numerical studies, the framework with an extended augmented common factor model is applied to the Human Mortality Database, and the superiority of the proposed framework is evident in mortality forecasting performance.
Keywords: Mortality forecast; DSA algorithm; Lee-Carter model; Multiple populations
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