TY - JOUR
T1 - Killing off cohorts
T2 - Forecasting mortality of non-extinct cohorts with the penalized composite link model
AU - Rizzi, Silvia
AU - Kjærgaard, Søren
AU - Bergeron Boucher, Marie-Pier
AU - Camarda, Carlo Giovanni
AU - Lindahl-Jacobsen, Rune
AU - Vaupel, James W.
PY - 2021/1/1
Y1 - 2021/1/1
N2 - Mortality forecasting has crucial implications for insurance and pension policies. A large amount of literature has proposed models to forecast mortality using cross-sectional (period) data instead of longitudinal (cohort) data. As a consequence, decisions are generally based on period life tables and summary measures such as period life expectancy, which reflect hypothetical mortality rather than the mortality actually experienced by a cohort. This study introduces a novel method to forecast cohort mortality and the cohort life expectancy of non-extinct cohorts. The intent is to complete the mortality profile of cohorts born up to 1960. The proposed method is based on the penalized composite link model for ungrouping data. The performance of the method is investigated using cohort mortality data retrieved from the Human Mortality Database for England & Wales, Sweden, and Switzerland for male and female populations.
AB - Mortality forecasting has crucial implications for insurance and pension policies. A large amount of literature has proposed models to forecast mortality using cross-sectional (period) data instead of longitudinal (cohort) data. As a consequence, decisions are generally based on period life tables and summary measures such as period life expectancy, which reflect hypothetical mortality rather than the mortality actually experienced by a cohort. This study introduces a novel method to forecast cohort mortality and the cohort life expectancy of non-extinct cohorts. The intent is to complete the mortality profile of cohorts born up to 1960. The proposed method is based on the penalized composite link model for ungrouping data. The performance of the method is investigated using cohort mortality data retrieved from the Human Mortality Database for England & Wales, Sweden, and Switzerland for male and female populations.
KW - Cohort life tables
KW - Cohort mortality forecasts
KW - Demographic forecasting
KW - Non-extinct cohorts
KW - Smoothing
U2 - 10.1016/j.ijforecast.2020.03.003
DO - 10.1016/j.ijforecast.2020.03.003
M3 - Journal article
VL - 37
SP - 95
EP - 104
JO - International Journal of Forecasting
JF - International Journal of Forecasting
SN - 0169-2070
IS - 1
ER -