A DSA Algorithm for Mortality Forecasting

34 Pages Posted: 8 Mar 2020 Last revised: 10 Jun 2020

See all articles by Liqun Diao

Liqun Diao

University of Waterloo

Yechao Meng

University of Waterloo - Department of Statistics and Actuarial Science

Chengguo Weng

University of Waterloo

Date Written: January 4, 2020

Abstract

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

Suggested Citation

Diao, Liqun and Meng, Yechao and Weng, Chengguo, A DSA Algorithm for Mortality Forecasting (January 4, 2020). Available at SSRN: https://ssrn.com/abstract=3537368 or http://dx.doi.org/10.2139/ssrn.3537368

Liqun Diao

University of Waterloo ( email )

Waterloo, Ontario N2L 3G1
Canada

Yechao Meng

University of Waterloo - Department of Statistics and Actuarial Science ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada

Chengguo Weng (Contact Author)

University of Waterloo ( email )

M3-200 Univ Ave W
Waterloo, Ontario N2L3G1
Canada
(1)888-4567 ext.31132 (Phone)

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