In this study we develop a multi-factor extension of the family of Lee-Carter stochastic mortality models. We build upon the time, period and cohort stochastic model structure to extend it to include exogenous observable demographic features that can be used as additional factors to improve...

Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under the generalised linear modelling framework. In this...

Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under the generalised linear modelling framework. In this...

This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a general state-space modelling methodology, which allows...

It is important to understand the statistical features of mortality data if one is to accurately undertake mortality projection and forecasting when constructing life tables. The ability to accurately forecast mortality is a critical aspect for the study of demography, life insurance product...

The pricing of life insurance products depends critically on the ability to model and forecast three core stochastic drivers. Firstly, the ability to accurately forecast expected mortality rates by age group for a given population in order to construct estimates of the life expectancy required...

Increasing the accuracy of forecasting of mortality rates and improving the projection of life expectancy is an important consideration for insurance companies and governments since misleading predictions may result in insufficient funds for retirement and pension plans. The existence of long...

Forecasting life expectancy and mortality are two important aspects for the study of demography. We demonstrate in this work that the existence of long memory in mortality data improves the understanding of mortality and the model incorporating a long memory structure provides a new approach to...