The Dynamic of Mortality Explained with a Reduced Number of Key Ages

34 Pages Posted: 6 Aug 2024

See all articles by David Atance

David Atance

University of Alcala

Steven Haberman

City University London - Faculty of Actuarial Science

Pietro Millossovich

The Business School (formerly Cass); University of Trieste - Dipartimento di Scienze Aziendali Economiche Matematiche e Statistiche B. de Finetti

Abstract

Fitting and forecasting the age pattern of mortality has been of interest to researchers and practitioners for a century and a half. In fact, many researchers have focused on the decomposition of the life length into homogeneous age groups for which a similar pattern of mortality can be discerned, and their secular dynamics. In this paper, we propose to use a mortality improvement rate model where the changes in mortality rates are linearly related to changes in three target rates corresponding to three “key ages”. These ages represent age groups where mortality evolves according to a specific pattern. Thus, we decide to fit and forecast mortality for the entire age range using these three key ages, chosen based on their demographic meaning. The key age model is fitted to seven populations and genders, and the in-sample and out-of-sample outcomes are compared to two mortality models used as benchmark. Despite its small number of parameters, the model shows good in-sample and out-of-sample accuracy.

Keywords: Mortality Improvements, Key Age, Mortality Curve, Mortality Patterns, Cross-Validation.

Suggested Citation

Atance, David and Haberman, Steven and Millossovich, Pietro, The Dynamic of Mortality Explained with a Reduced Number of Key Ages. Available at SSRN: https://ssrn.com/abstract=4918190

David Atance (Contact Author)

University of Alcala ( email )

Plaza de la Victoria, 2.
Alcala de Henares, 28801
Spain

Steven Haberman

City University London - Faculty of Actuarial Science ( email )

London
United Kingdom

Pietro Millossovich

The Business School (formerly Cass) ( email )

Northampton Square
London, EC1V 0HB
United Kingdom

University of Trieste - Dipartimento di Scienze Aziendali Economiche Matematiche e Statistiche B. de Finetti ( email )

Piazzale Europa, 1
Trieste, 34127
Italy

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