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Coherent forecasting of multiple-decrement life tables: a test using Japanese cause of death data

Planners in public and private institutions would like coherent forecasts of the components of age-specic mortality, such as causes of death. This has been di cult toachieve because the relative values of the forecast components often fail to behave ina way that is coherent with historical experience. In addition, when the group forecasts are combined the result is often incompatible with an all-groups forecast. It hasbeen shown that cause-specic mortality forecasts are pessimistic when compared withall-cause forecasts (Wilmoth, 1995). This paper abandons the conventional approachof using log mortality rates and forecasts the density of deaths in the life table. Sincethese values obey a unit sum constraint for both conventional single-decrement life tables (only one absorbing state) and multiple-decrement tables (more than one absorbingstate), they are intrinsically relative rather than absolute values across decrements aswell as ages. Using the methods of Compositional Data Analysis pioneered by Aitchison(1986), death densities are transformed into the real space so that the full range of multivariate statistics can be applied, then back-transformed to positive values so that theunit sum constraint is honoured. The structure of the best-known, single-decrementmortality-rate forecasting model, devised by Lee and Carter (1992), is expressed incompositional form and the results from the two models are compared. The compositional model is extended to a multiple-decrement form and used to forecast mortalityby cause of death for Japan

Geologische Vereinigung; Institut d鈥橢stad铆stica de Catalunya; International Association for Mathematical Geology; C脿tedra Llu铆s Santal贸 d鈥橝plicacions de la Matem脿tica; Generalitat de Catalunya, Departament d鈥橧nnovaci贸, Universitats i Recerca; Ministerio de Educaci贸n y Ciencia; Ingenio 2010.

Universitat de Girona. Departament d鈥橧nform脿tica i Matem脿tica Aplicada

Manager: Daunis i Estadella, Josep
Mart铆n Fern谩ndez, Josep Antoni
Other contributions: Universitat de Girona. Departament d鈥橧nform脿tica i Matem脿tica Aplicada
Author: Oeppen, Jim
Abstract: Planners in public and private institutions would like coherent forecasts of the components of age-specic mortality, such as causes of death. This has been di cult toachieve because the relative values of the forecast components often fail to behave ina way that is coherent with historical experience. In addition, when the group forecasts are combined the result is often incompatible with an all-groups forecast. It hasbeen shown that cause-specic mortality forecasts are pessimistic when compared withall-cause forecasts (Wilmoth, 1995). This paper abandons the conventional approachof using log mortality rates and forecasts the density of deaths in the life table. Sincethese values obey a unit sum constraint for both conventional single-decrement life tables (only one absorbing state) and multiple-decrement tables (more than one absorbingstate), they are intrinsically relative rather than absolute values across decrements aswell as ages. Using the methods of Compositional Data Analysis pioneered by Aitchison(1986), death densities are transformed into the real space so that the full range of multivariate statistics can be applied, then back-transformed to positive values so that theunit sum constraint is honoured. The structure of the best-known, single-decrementmortality-rate forecasting model, devised by Lee and Carter (1992), is expressed incompositional form and the results from the two models are compared. The compositional model is extended to a multiple-decrement form and used to forecast mortalityby cause of death for Japan
Geologische Vereinigung; Institut d鈥橢stad铆stica de Catalunya; International Association for Mathematical Geology; C脿tedra Llu铆s Santal贸 d鈥橝plicacions de la Matem脿tica; Generalitat de Catalunya, Departament d鈥橧nnovaci贸, Universitats i Recerca; Ministerio de Educaci贸n y Ciencia; Ingenio 2010.
Document access: http://hdl.handle.net/2072/14755
Language: eng
Publisher: Universitat de Girona. Departament d鈥橧nform脿tica i Matem脿tica Aplicada
Rights: Tots els drets reservats
Subject: Estad铆stica matem脿tica
Mortalitat -- Estad铆stiques
Title: Coherent forecasting of multiple-decrement life tables: a test using Japanese cause of death data
Type: info:eu-repo/semantics/conferenceObject
Repository: Recercat

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