Bayesian mixture modelling for mortality projection

Jackie Li, Atsuyuki Kogure

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Abstract

Although a large number of mortality projection models have been proposed in the literature, relatively little attention has been paid to a formal assessment of the effect of model uncertainty. In this paper, we construct a Bayesian framework for embedding more than one mortality projection model and utilise the finite mixture model concept to allow for the blending of model structures. Under this framework, the varying features of different model structures can be exploited jointly and coherently to have a more detailed description of the underlying mortality patterns. We show that the proposed Bayesian approach performs well in fitting and forecasting Japanese mortality.
Original languageEnglish
Article number76
Pages (from-to)1-12
Number of pages12
JournalRisks
Volume9
Issue number4
DOIs
Publication statusPublished - 15 Apr 2021

Bibliographical note

Copyright: © 2021 by the authors. Licensee MDPI, Basel, Switzerland. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

Keywords

  • finite mixture model
  • Bayesian modelling
  • Lee–Carter model
  • Cairns-Blade-Dowd model
  • age-cohort model

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