The prototypical Lee-Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are designed to influence the age groups...

We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to multicointegrated systems. For the forecast evaluation we consider several loss functions, each of which has a particular interpretation in the context of stock-flow models where...