Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable … should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models …-in terms, that is, of their goodness-of-fit and prediction accuracy-is often based on the logarithmic scale of the mortality …

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 …

We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death … causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain …. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities …