Longevity forecasting by socio-economic groups using compositional data analysis

Søren Kjærgaard*, Yunus Emre Ergemen, Marie Pier Bergeron-Boucher, Jim Oeppen, Malene Kallestrup-Lamb

*Corresponding author for this work

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Abstract

Several Organisation for Economic Co-operation and Development countries have recently implemented an automatic link between the statutory retirement age and life expectancy for the total population to ensure sustainability in their pension systems due to increasing life expectancy. As significant mortality differentials are observed across socio-economic groups, future changes in these differentials will determine whether some socio-economic groups drive increases in the retirement age, leaving other groups with fewer pensionable years. We forecast life expectancy by socio-economic groups and compare the forecast performance of competing models by using Danish mortality data and find that the most accurate model assumes a common mortality trend. Life expectancy forecasts are used to analyse the consequences of a pension system where the statutory retirement age is increased when total life expectancy is increasing.

Original languageEnglish
JournalJournal of the Royal Statistical Society, Series A (Statistics in Society)
Volume183
Issue number3
Pages (from-to)1167-1187
ISSN0964-1998
DOIs
Publication statusPublished - 1. Jun 2020

Keywords

  • Compositional data
  • Forecasting
  • Longevity
  • Pension
  • Socio-economic groups

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