Backtesting stochastic mortality models: An expost evaluation of multiperiod-ahead density forecasts

Kevin Dowd, A. J G Cairns, David Blake, Guy D. Coughlan, David Epstein, Marwa Khalaf-Allah

Research output: Contribution to journalArticle

67 Citations (Scopus)

Abstract

This study sets out a backtesting framework applicable to the multiperiod-ahead forecasts from stochastic mortality models and uses it to evaluate the forecasting performance of six different stochastic mortality models applied to English & Welsh male mortality data. The models considered are the following: Lee-Carter's 1992 one-factor model; a version of Renshaw-Haberman's 2006 extension of the Lee-Carter model to allow for a cohort effect; the age-period-cohort model, which is a simplified version of Renshaw-Haberman; Cairns, Blake, and Dowd's 2006 two-factor model; and two generalized versions of the last named with an added cohort effect. For the data set used herein, the results from applying this methodology suggest that the models perform adequately by most backtests and that prediction intervals that incorporate parameter uncertainty are wider than those that do not. We also find little difference between the performances of five of the models, but the remaining model shows considerable forecast instability.

Original languageEnglish
Pages (from-to)281-298
Number of pages18
JournalNorth American Actuarial Journal
Volume14
Issue number3
DOIs
Publication statusPublished - 2010

Fingerprint Dive into the research topics of 'Backtesting stochastic mortality models: An expost evaluation of multiperiod-ahead density forecasts'. Together they form a unique fingerprint.

  • Cite this