- Structural breaks in mortality trends with an application to Dutch and Belgian data
- Number of pages
- Amsterdam: Universiteit van Amsterdam
- Document type
- Working paper
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
In this paper we consider the modelling of mortality rates. Many mortality models exist, and for several countries these models are estimated and back tested. We focus on a collection of mortality models (Cairns et al. (2006), Renshaw and Haberman (2006), Plat (2009), OHare and Li (2011)), applied to two age buckets (5-89 and 60-89) of Dutch and Belgian mortality data. The mortality models are estimated and for the models that fit the data best (based on BIC), we investigate the predictive power by performing back tests. In the mortality modelling literature projections are often made using simple time series models like a random walk with drift, of which the projections are highly sensitive to the calibration period. Our main contribution to the literature is that we introduce a modelling strategy for the time-dependent parameters that allows for objective, statistical detection of structural breaks in the time series. By comparing projections based on different calibration periods, we show that the proposed methodology leads to more robust mortality projections.
- September 3, 2012
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.