Structural Breaks in Mortality Models and their Consequences

Colin O'Hare, Youwei Li

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)peer-review

Abstract

In recent years, the issue of life expectancy has become of upmost importance to pension providers, insurance companies and the government bodies in the developed world. Significant and consistent improvements in mortality rates and, hence, life expectancy have led to unprecedented increases in the cost of providing for older ages. This has resulted in an explosion of stochastic mortality models forecasting trends in mortality data in order to anticipate future life expectancy and, hence, quantify the costs of providing for future aging populations. Many stochastic models of mortality rates identify linear trends in mortality rates by time, age and cohort, and forecast these trends into the future using standard statistical methods. The modeling approaches used failed to capture the effects of any structural change in the trend and, thus, potentially produced incorrect forecasts of future mortality rates. In this paper, we look at a range of leading stochastic models of mortality and test for structural breaks in the trend time series.
Original languageEnglish
Title of host publicationVulnerability, Uncertainty, and Risk: Quantification, Mitigation, and Management
EditorsMichael Beer, Siu-Kui Au, Jim W. Hall
Publisher American Society of Civil Engineers
Pages1190-1204
ISBN (Print) 978-0-7844-1360-9
DOIs
Publication statusPublished - 2014

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