南开金融学术港
南开大学金融学院

南开金融研究速递|Hong Li etal., Demography,2017,Forthcoming
发布时间:2017-05-08 11:34:12


 


李泓,南开大学金融学院助理教授

 

Modeling and Forecasting Mortality with Economic Growth: a Multi-population Approach

Tim J. Boonen, Hong Li(通讯作者)


Abstract

Existing literature on mortality modeling of multiple populations focuses mainly on extrapolating the past mortality trends and summarizing these trends by one or more common latent factors. This paper proposes a multi-population stochastic mortality model which utilizes the explanatory power of economic growth. In particular, we extend the Li and Lee model (Li and Lee 2005, Coherent mortality forecasts for a group of populations:An extension of the Lee-Carter method. Demography 42 (3), 575-594) by including economic growth, represented by the real gross domestic product (GDP) per capita, to capture the common mortality trend for a group of populations with similar socio economic conditions. We find that our proposed model provides a better in-sample fit and an out-of-sample forecast performance. Moreover, it generates lower  (higher)  forecasted period life expectancy for countries with high (low) GDP than the Li and Lee (2005) model.