TY - JOUR
T1 - The maximum entropy mortality model
T2 - forecasting mortality using statistical moments
AU - Pascariu, Marius D.
AU - Lenart, Adam
AU - Canudas-Romo, Vladimir
N1 - Publisher Copyright:
© 2019, © 2019 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.
PY - 2019/9/14
Y1 - 2019/9/14
N2 - The age-at-death distribution is a representation of the mortality experience in a population. Although it proves to be highly informative, it is often neglected when it comes to the practice of past or future mortality assessment. We propose an innovative method to mortality modeling and forecasting by making use of the location and shape measures of a density function, i.e. statistical moments. Time series methods for extrapolating a limited number of moments are used and then the reconstruction of the future age-at-death distribution is performed. The predictive power of the method seems to be net superior when compared to the results obtained using classical approaches to extrapolating age-specific-death rates, and the accuracy of the point forecast (MASE) is improved on average by 33% respective to the state-of-the-art, the Lee–Carter model. The method is tested using data from the Human Mortality Database and implemented in a publicly available R package.
AB - The age-at-death distribution is a representation of the mortality experience in a population. Although it proves to be highly informative, it is often neglected when it comes to the practice of past or future mortality assessment. We propose an innovative method to mortality modeling and forecasting by making use of the location and shape measures of a density function, i.e. statistical moments. Time series methods for extrapolating a limited number of moments are used and then the reconstruction of the future age-at-death distribution is performed. The predictive power of the method seems to be net superior when compared to the results obtained using classical approaches to extrapolating age-specific-death rates, and the accuracy of the point forecast (MASE) is improved on average by 33% respective to the state-of-the-art, the Lee–Carter model. The method is tested using data from the Human Mortality Database and implemented in a publicly available R package.
KW - Mortality forecasting
KW - density estimation
KW - maximum entropy
KW - statistical moments
UR - http://www.scopus.com/inward/record.url?scp=85063581817&partnerID=8YFLogxK
U2 - 10.1080/03461238.2019.1596974
DO - 10.1080/03461238.2019.1596974
M3 - Article
SN - 0346-1238
VL - 2019
SP - 661
EP - 685
JO - Scandinavian Actuarial Journal
JF - Scandinavian Actuarial Journal
IS - 8
ER -