Résumés
Abstract
Mortality forecasting is much needed for population projections and actuarial calculations. Forecasting mortality of males and females in an independent way leads in most of cases to some incoherence regarding the expected male-female mortality evolution. To avoid a possible unrealistic convergence/divergence in this sense, a coherent mortality forecasting is required. In this paper, we compare the performance of two coherent models, namely the model of Li and Lee (2005) and that of Hyndman et al. (2013) on forecasting male and female mortality of the Algerian population. Results show that the first model provides better goodness-of-fit but less coherence compared to the second one.
Keywords:
- Life expectancy,
- Mortality,
- Coherent forecast,
- Sex ratio,
- Algeria
Veuillez télécharger l’article en PDF pour le lire.
Télécharger
Parties annexes
Bibliography
- Akaike, H. (1973). Information, theory and extension of the Maximum Likelihood Principle, 2nd Edition, Budapest, p. 125-129.
- Bell, W. R. (1997). Comparing and Assessing Time Series Methods for Forecasting Age-Specific Fertility and Mortality Rates. Journal of Official Statistics, 13, p. 270-303.
- Bongaarts, J. (2004). Population aging and the rising cost of public pensions. Population and Development Review, 30, p. 1-23.
- Bourgeois, J. (1946). De la mesure de la mortalité infantile. Population, 1, p. 53-68.
- Burnhan, K.P., & Anderson, D.R. (1998). Model selection and inference. Ed. Springer-Verlag, 1998, New York, USA.
- Cairns, A. J., Blake, D., & Dowd, K. (2008). Modelling and management of mortality risk: a review. Scandinavian Actuarial Journal, 2-3, p. 79-113.
- Cairns, A. J. G., Blake, D., & Dowd, K. (2006). A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration. Journal of Risk and Insurance, 73, p. 687-718.
- Cairns, A. J., Blake, D., Dowd, K., Coughlan, G. D., Epstein, D., Ong, A., & Balevich, I. (2009). A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. North American Actuarial Journal, 13(1), p. 1-35.
- Coale, C., & Demeny, P. (1966). Regional model life table and stable populations. Princeton University Press, Princeton, New Jersey, 1966.
- Chen, R. Y., & Millossovich, P. (2018). Sex-specific mortality forecasting for UK countries: a coherent approach. European actuarial journal, 8(1), p. 69-95.
- Currie, I. D. (2006). Smoothing and forecasting mortality rates with P-splines. Talk given at the Institute of Actuaries. http://www.macs.hw.ac.uk/~iain/research/talks/Mortality.pdf
- Currie, I. D., Durban, M., & Eilers, P. (2004). Smoothing and forecasting mortality rates. Statistical Modelling, 4, p. 279-298.
- Debonneuil, E., Planchet, F., & Loisel, S. (2018). Do actuaries believe in longevity deceleration? Insurance: Mathematics and Economics, 78(C), p. 325-338.
- Denuit, M., & Goderniaux, A. (2005). Closing and projecting life tables using log-linear models. Bulletin de l’Association Suisse des Actuaries, 1, p. 29-49.
- Dowd, K., Cairns, A. J. G., Blake, D., Coughlan, G. D., Epstein, D., & Khalaf-Allah, M. (2011). A Gravity Model of Mortality Rates for Two Related Populations. North American Actuarial Journal, 15(2), p. 334-356.
- Flici, F. (2014). Estimation of the missing data in the Algerian mortality surface by using an Age-time-segmented Lee-carter model. Stochastic Modeling Techniques and Data Analysis Conference, Lisbon, Portugal, (June).
- Flici, F. (2016a). Projection des taux de mortalité par âges pour la population algérienne [Forecasting The Age Specific Mortality Rates For The Algerian Population], MPRA Paper 98784, University Library of Munich, Germany, revised Dec 2016.
- Flici, F. (2016b). Longevity and life annuities reserving in Algeria: a comparison of mortality models. The Actuarial Association of Actuaries Life Section Colloquium, Hong Kong, (April).
- Flici, F. (2016c). Provisionnement des rentes viagères en Algérie entre approche statique et approche prospective. Bulletin Français d’Actuariat, 31, p. 5-40.
- Flici, F. (2017). Longevity and Pension Plan Sustainability in Algeria: Taking the retirees mortality experience into account. PhD Thesis, Higher National School of Statistics and Applied Economics (ENSSEA), Algiers, Algeria.
- Flici, F. (2020a). Analyzing the Trend of Life Expectancy Evolution in Algeria from 1962 to 2018: The S-logistic Segmentation with Jumps. Population Review, 59(1), p. 56-72.
- FLICI, F. (2020b). Closing-out the Algerian life tables: for more accuracy and adequacy at old-ages. Actuarial Research Clearing House, 2020(2), 2.
- Hansen, B. (2007). Notes and comments least squares model averaging. Econometrica, 75(4), p. 1175-1189.
- Hyndman, R., Booth, H., & Yasmeen, F. (2013). Coherent mortality forecasting: the product-ratio method with functional time series models. Demography, 50(1), p. 261-283.
- Kimball, A.W. (1960). Estimation of mortality intensities in animal experiments. Biometrics, 16(4), p. 505-521.
- Koissi, M. C., & Shapiro, A. F. (2008). The lee-carter model under the condition of variables age-specific parameters. 43rd Actuarial Research Conference, Regina, Canada (August).
- Kruger, D. J., & Nesse, R.M. (2004). Sexual selection and the male female mortality ratio. Evolutionary psychology, 2, p. 66-85.
- Lee, R. D., & Carter, L. (1992). Modeling and Forecasting U. S. Mortality. Journal of the American Statistical Association, 87 (419), p. 659-671.
- Li, N., & Lee, R.D. (2005). Coherent mortality forecasts for a group of populations: an extension of the Lee Carter method. Demography, 42(3), p. 575-594.
- Planchet, F., & Lelieur, V. (2007). Utilisation des méthodes de Lee-Carter et log-poisson pour l’ajustement de tables de mortalité dans le cas de petits échantillons. Bulletin Français de l’Actuariat, 14, p. 118-146.
- Renshaw, A. E., & Haberman, S. (2003). Lee–Carter mortality forecasting with age-specific enhancement. Insurance: Mathematics and Economics, 33(2), p. 255-272.
- Renshaw, A. E., & Haberman, S. (2006). A cohort-based extension to the Lee-Carter model for mortality reduction factors. Insurance: Mathematics and Economics, 38(3), p. 556-570.
- Schwarz, G. (1978). Estimating the dimension of a model. Annals of Statistics, 6, p. 461-464.
- Zhou, R. J., Li, S. H., & Tan, K. S. (2013). Pricing standardized mortality securitizations: A two-population model with transitory jump effects. Journal of Risk and Insurance, 80(3), p. 733-774.