Mortality models incorporating long memory for life table estimation: A comprehensive analysis

Hongxuan Yan, Gareth W. Peters, Jennifer Chan

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

Mortality projection and forecasting of life expectancy are two important aspects of the study of demography and life insurance modelling. We demonstrate in this work the existence of long memory in mortality data. Furthermore, models incorporating long memory structure provide a new approach to enhance mortality forecasts in terms of accuracy and reliability, which can improve the understanding of mortality. Novel mortality models are developed by extending the Lee-Carter (LC) model for death counts to incorporate a long memory time series structure. To link our extensions to existing actuarial work, we detail the relationship between the classical models of death counts developed under a Generalised Linear Model (GLM) formulation and the extensions we propose that are developed under an extension to the GLM framework known in time series literature as the Generalised Linear Autoregressive Moving Average (GLARMA) regression models. Bayesian inference is applied to estimate the model parameters. The Deviance Information Criterion (DIC) is evaluated to select between different LC model extensions of our proposed models in terms of both in-sample fits and out-of-sample forecasts performance. Furthermore, we compare our new models against existing models structures proposed in the literature when applied to the analysis of death count data sets from 16 countries divided according to genders and age groups. Estimates of mortality rates are applied to calculate life expectancies when constructing life tables. By comparing different life expectancy estimates, results show the LC model without the long memory component may provide underestimates of life expectancy, while the long memory model structure extensions reduce this effect. In summary, it is valuable to investigate how the long memory feature in mortality influences life expectancies in the construction of life tables.

Original languageEnglish
Pages (from-to)567-604
Number of pages38
JournalAnnals of Actuarial Science
Volume15
Issue number3
Early online date2 Feb 2021
DOIs
Publication statusPublished - Nov 2021

Keywords

  • Bayesian inference
  • Fractional integrated model
  • GLARMA
  • Lee-Carter model
  • Life expectancy
  • Life table
  • Long memory

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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