Structural breaks in mortality models and their consequences

C. O'Hare, Y. Li

Research output: Chapter in Book/Report/Conference proceedingConference PaperOther

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
Subtitle of host publicationQuantification, Mitigation, and Management - Proceedings of the Second International Conference on Vulnerability and Risk Analysis and Management (ICVRAM) and the Sixth International Symposium on Uncertainty Modeling and Analysis (ISUMA)
EditorsMichael Beer, Siu-Kui Au, Jim W. Hall
Place of PublicationReston VA USA
PublisherAmerican Society of Civil Engineers
Pages1190-1204
Number of pages15
ISBN (Electronic)9780784413609
DOIs
Publication statusPublished - 1 Jan 2014
EventInternational Conference on Vulnerability and Risk Analysis and Management and the International Symposium on Uncertainty Modeling and Analysis 2014 - University of Liverpool, Liverpool, United Kingdom
Duration: 13 Jul 201416 Jul 2014
http://www.icvram2014.org/

Conference

ConferenceInternational Conference on Vulnerability and Risk Analysis and Management and the International Symposium on Uncertainty Modeling and Analysis 2014
Abbreviated titleASCE-ICVRAM-ISUMA 2014
CountryUnited Kingdom
CityLiverpool
Period13/07/1416/07/14
Other2nd International Conference on Vulnerability and Risk Analysis and Management and the 6th International Symposium on Uncertainty Modeling and Analysis
Internet address

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