南开金融研究速递|Hong Li etal., Demography,2017,Forthcoming
Modeling and Forecasting Mortality with Economic Growth: a Multi-population Approach
Tim J. Boonen, Hong Li（通讯作者）
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.