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This study sets out a framework to evaluate the goodness of fit of stochastic mortality models and applies it to six different models estimated using English & Welsh male mortality data. The methodology exploits the structure of each model to obtain various residual series that are predicted to...
Persistent link: https://www.econbiz.de/10013160247
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:...
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We compare quantitatively eight stochastic models explaining improvements in mortality rates in England &Wales and in the US. On the basis of the Bayes Information Criterion (BIC), we find that an extension of the Cairns, Blake & Dowd (2006b) model that incorporates the cohort effect fits the...
Persistent link: https://www.econbiz.de/10014210565