Models of mortality rates – analysing the residuals

Colin O'Hare, Youwei Li

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)
311 Downloads (Pure)


The area of mortality modelling has received significant attention over the last 20 years owing to the need to quantify and forecast improving mortality rates. This need is driven primarily by the concern of governments, professionals, insurance and actuarial professionals and individuals to be able to fund their old age. In particular, to quantify the costs of increasing longevity we need suitable model of mortality rates that capture the dynamics of the data and forecast them with sufficient accuracy to make them useful. In this paper we test several of those models by considering the fitting quality and in particular, testing the residuals of those models for normality properties. In a wide ranging study considering 30 countries we find that almost exclusively the residuals do not demonstrate normality. Further, in Hurst tests of the residuals we find evidence that structure remains that is not captured by the models.
Original languageEnglish
Pages (from-to)5309–5323
Number of pages15
JournalApplied Economics
Issue number52
Early online date23 Mar 2017
Publication statusPublished - 2017


  • Mortality, stochastic models, forecasting, structural breaks, Hurst exponents


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