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Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach
European Actuarial Journal ( IF 0.8 ) Pub Date : 2020-10-22 , DOI: 10.1007/s13385-020-00248-9
Apostolos Bozikas , Georgios Pitselis

This paper proposes a multi-level hierarchical credibility regression approach to model multi-population mortality data. Future mortality rates are derived using extrapolation techniques, while the forecasting performances between the proposed model, the original Lee–Carter model and two Lee–Carter extensions for multiple populations are compared for both genders of three northern European countries with small populations (Ireland, Norway, Finland). Empirical illustrations show that the proposed method produces more accurate forecasts than the Lee–Carter model and its multi-population extensions.



中文翻译:

多人口死亡率建模和预测:分层可信度回归方法

本文提出了一种多级层次可信度回归方法来对多人口死亡率数据进行建模。未来死亡率是使用外推技术推导出来的,同时比较了三个人口较少的北欧国家(爱尔兰、挪威)的两种性别的拟议模型、原始 Lee-Carter 模型和多个人群的两个 Lee-Carter 扩展模型之间的预测性能, 芬兰)。经验说明表明,所提出的方法比 Lee-Carter 模型及其多种群扩展产生更准确的预测。

更新日期:2020-10-22
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