Structural breaks in mortality models and their consequences

C. O'Hare; Y. Li

doi:10.1061/9780784413609.120

Structural breaks in mortality models and their consequences

C. O'Hare, Y. Li

Econometrics & Business Statistics

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Other

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 language	English
Title of host publication	Vulnerability, Uncertainty, and Risk
Subtitle of host publication	Quantification, 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)
Editors	Michael Beer, Siu-Kui Au, Jim W. Hall
Place of Publication	Reston VA USA
Publisher	American Society of Civil Engineers
Pages	1190-1204
Number of pages	15
ISBN (Electronic)	9780784413609
DOIs	https://doi.org/10.1061/9780784413609.120
Publication status	Published - 1 Jan 2014
Event	International 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 2014 → 16 Jul 2014 http://www.icvram2014.org/

Conference

Conference	International Conference on Vulnerability and Risk Analysis and Management and the International Symposium on Uncertainty Modeling and Analysis 2014
Abbreviated title	ASCE-ICVRAM-ISUMA 2014
Country/Territory	United Kingdom
City	Liverpool
Period	13/07/14 → 16/07/14
Other	2nd International Conference on Vulnerability and Risk Analysis and Management and the 6th International Symposium on Uncertainty Modeling and Analysis
Internet address	http://www.icvram2014.org/

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1061/9780784413609.120

Cite this

O'Hare, C., & Li, Y. (2014). Structural breaks in mortality models and their consequences. In M. Beer, S.-K. Au, & J. W. Hall (Eds.), Vulnerability, Uncertainty, and Risk: Quantification, 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) (pp. 1190-1204). American Society of Civil Engineers. https://doi.org/10.1061/9780784413609.120

O'Hare, C. ; Li, Y. / Structural breaks in mortality models and their consequences. Vulnerability, Uncertainty, and Risk: Quantification, 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). editor / Michael Beer ; Siu-Kui Au ; Jim W. Hall. Reston VA USA : American Society of Civil Engineers, 2014. pp. 1190-1204

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O'Hare, C & Li, Y 2014, Structural breaks in mortality models and their consequences. in M Beer, S-K Au & JW Hall (eds), Vulnerability, Uncertainty, and Risk: Quantification, 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). American Society of Civil Engineers, Reston VA USA, pp. 1190-1204, International Conference on Vulnerability and Risk Analysis and Management and the International Symposium on Uncertainty Modeling and Analysis 2014, Liverpool, United Kingdom, 13/07/14. https://doi.org/10.1061/9780784413609.120

Structural breaks in mortality models and their consequences. / O'Hare, C.; Li, Y.
Vulnerability, Uncertainty, and Risk: Quantification, 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). ed. / Michael Beer; Siu-Kui Au; Jim W. Hall. Reston VA USA: American Society of Civil Engineers, 2014. p. 1190-1204.

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Other

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O'Hare C, Li Y. Structural breaks in mortality models and their consequences. In Beer M, Au SK, Hall JW, editors, Vulnerability, Uncertainty, and Risk: Quantification, 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). Reston VA USA: American Society of Civil Engineers. 2014. p. 1190-1204 doi: 10.1061/9780784413609.120

Structural breaks in mortality models and their consequences

Abstract

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UN SDGs

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