This study sets out a backtesting framework applicable to the multi-period-ahead forecasts from stochastic mortality … models and uses it to evaluate the forecasting performance of six different stochastic mortality models applied to English … & Welsh male mortality data. The models considered are: Lee-Carter's 1992 one-factor model; a version of Renshaw …

One of the main challenges for life actuaries is modeling and predicting the future mortality evolution. To this end …, several stochastic mortality models have been proposed in literature, starting from the pivotal approach of the Lee …-Carter model. These models essentially use the ARIMA processes to forecast the future mortality trends. Recently, some research …