Coherent mortality model in a state-space approach
Mortality improvements that have recently become apparent in most developing countries have significantly shaped queries on forecast divergent between populations in recent years. Therefore, to ensure a more coherent way of forecasting, previous researchers have proposed multi-population mortali...
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Penerbit Universiti Kebangsaan Malaysia
2021
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my-ukm.journal.171822021-07-26T03:10:42Z http://journalarticle.ukm.my/17182/ Coherent mortality model in a state-space approach Siti Rohani Mohd Nor, Fadhilah Yusof, Siti Mariam Norrulashikin, Mortality improvements that have recently become apparent in most developing countries have significantly shaped queries on forecast divergent between populations in recent years. Therefore, to ensure a more coherent way of forecasting, previous researchers have proposed multi-population mortality model in the form of independent estimation procedures. However, similar to single-population mortality model, such independent approaches might lead to inaccurate prediction interval. As a result of this inaccurate mortality forecasts, the life expectancies and the life annuities that the mortality model aims to generate is underestimated. In this study, we propose another new extension of the multi-population mortality model in a joint estimation approach by recasting the model into a state-space framework. A combination of augmented Li-Lee and O’Hare-Li methods are employed, before we transform the proposed model into a state-space formulation. In addition, this study incorporates the quadratic age effect parameter to the proposed model to better capture the younger ages mortality. We apply the method to gender and age-specific data for Malaysia. The results show that our latter framework brings a significant contribution to the multi-population mortality model due to the incorporation of joint-estimate and quadratic age effect parameters into the model’s structure. Consequently, the proposed model improves the mortality forecast accuracy. Penerbit Universiti Kebangsaan Malaysia 2021-04 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/17182/1/20.pdf Siti Rohani Mohd Nor, and Fadhilah Yusof, and Siti Mariam Norrulashikin, (2021) Coherent mortality model in a state-space approach. Sains Malaysiana, 50 (4). pp. 1101-1111. ISSN 0126-6039 https://www.ukm.my/jsm/malay_journals/jilid50bil4_2021/KandunganJilid50Bil4_2021.html |
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Mortality improvements that have recently become apparent in most developing countries have significantly shaped
queries on forecast divergent between populations in recent years. Therefore, to ensure a more coherent way of forecasting,
previous researchers have proposed multi-population mortality model in the form of independent estimation procedures.
However, similar to single-population mortality model, such independent approaches might lead to inaccurate prediction
interval. As a result of this inaccurate mortality forecasts, the life expectancies and the life annuities that the mortality
model aims to generate is underestimated. In this study, we propose another new extension of the multi-population
mortality model in a joint estimation approach by recasting the model into a state-space framework. A combination of
augmented Li-Lee and O’Hare-Li methods are employed, before we transform the proposed model into a state-space
formulation. In addition, this study incorporates the quadratic age effect parameter to the proposed model to better capture
the younger ages mortality. We apply the method to gender and age-specific data for Malaysia. The results show that
our latter framework brings a significant contribution to the multi-population mortality model due to the incorporation
of joint-estimate and quadratic age effect parameters into the model’s structure. Consequently, the proposed model
improves the mortality forecast accuracy. |
| format |
Article |
| author |
Siti Rohani Mohd Nor, Fadhilah Yusof, Siti Mariam Norrulashikin, |
| spellingShingle |
Siti Rohani Mohd Nor, Fadhilah Yusof, Siti Mariam Norrulashikin, Coherent mortality model in a state-space approach |
| author_facet |
Siti Rohani Mohd Nor, Fadhilah Yusof, Siti Mariam Norrulashikin, |
| author_sort |
Siti Rohani Mohd Nor, |
| title |
Coherent mortality model in a state-space approach |
| title_short |
Coherent mortality model in a state-space approach |
| title_full |
Coherent mortality model in a state-space approach |
| title_fullStr |
Coherent mortality model in a state-space approach |
| title_full_unstemmed |
Coherent mortality model in a state-space approach |
| title_sort |
coherent mortality model in a state-space approach |
| publisher |
Penerbit Universiti Kebangsaan Malaysia |
| publishDate |
2021 |
| url |
http://journalarticle.ukm.my/17182/1/20.pdf http://journalarticle.ukm.my/17182/ https://www.ukm.my/jsm/malay_journals/jilid50bil4_2021/KandunganJilid50Bil4_2021.html |
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1706958275648421888 |
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13.211869 |