TY - JOUR
T1 - Cohort extensions of the Poisson common factor model for modelling both genders jointly
AU - Yang, Bowen
AU - Li, Jackie
AU - Balasooriya, Uditha
PY - 2016/2/7
Y1 - 2016/2/7
N2 - The earlier work on mortality modelling and forecasting has largely focused on the study of a single population. Recently, there is an emerging strand of literature that emphasises the interrelationship between multiple populations. In this paper, we examine some cohort extensions of the Poisson common factor model for modelling both genders jointly. The cohort effect is specified in six alternatives which are applied to data-sets from five developed regions. We find that direct parameterisation of cohort effect could improve model fitting, reduce the need for additional period factors, and produce consistent mortality forecasts for females and males. Furthermore, we find that the cohort effect appears to be gender indifferent for the populations examined and has an interaction effect with age in certain cases.
AB - The earlier work on mortality modelling and forecasting has largely focused on the study of a single population. Recently, there is an emerging strand of literature that emphasises the interrelationship between multiple populations. In this paper, we examine some cohort extensions of the Poisson common factor model for modelling both genders jointly. The cohort effect is specified in six alternatives which are applied to data-sets from five developed regions. We find that direct parameterisation of cohort effect could improve model fitting, reduce the need for additional period factors, and produce consistent mortality forecasts for females and males. Furthermore, we find that the cohort effect appears to be gender indifferent for the populations examined and has an interaction effect with age in certain cases.
UR - http://www.scopus.com/inward/record.url?scp=84949532790&partnerID=8YFLogxK
U2 - 10.1080/03461238.2014.908411
DO - 10.1080/03461238.2014.908411
M3 - Article
AN - SCOPUS:84949532790
SP - 93
EP - 112
JO - Scandinavian Actuarial Journal
JF - Scandinavian Actuarial Journal
SN - 0346-1238
IS - 2
ER -