This paper evaluates the out-of-sample performance of two stochastic models used to forecast age specific mortality … are used to compare observed ex-post mortality rates to the forecasts generated by the models. Several functions of the … individual age-specific mortality rates are also entertained, including life expectancy at birth (e0), as well as alternative …

In this study we develop a multi-factor extension of the family of Lee-Carter stochastic mortality models. We build …) introduce a class of multi-factor stochastic mortality models incorporating time, period, cohort and demographic features, which … Mortality Database demographic data from European countries and we use the extracted features to better explain the term …

An essential input of annuity pricing is the future retiree mortality. From observed age-specific mortality data … ages and then produce mortality forecasts based on a partial age-range model. On the other hand, with all available data …, we can first apply a full age-range model to produce forecasts and then truncate the mortality forecasts to retiree ages …

This work proposes a backtesting analysis that compares the Lee–Carter and the Cairns–Blake–Dowd mortality models …, employing Italian data. The mortality data come from the Italian National Statistics Institute (ISTAT) database and span the …. We find that neither model was able to capture the improving shock on mortality observed for the male population on the …