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Modelling and Forecasting the Mortality of the Very Old

Published online by Cambridge University Press:  09 August 2013

Iain D. Currie
Iain D. Currie*
Affiliation:
Department of Actuarial Mathematics and Statistics and the Maxwell Institute for Mathematical Sciences, Heriot-Watt University, Edinburgh, EH14 4AS, UK. Tel.: +44 (0)131 451 3208, Fax: +44 (0)131 451 3249, E-Mail: I.D.Currie@hw.ac.uk
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Abstract

The forecasting of the future mortality of the very old presents additional challenges since data quality can be poor at such ages. We consider a two-factor model for stochastic mortality, proposed by Cairns, Blake and Dowd, which is particularly well suited to forecasting at very high ages. We consider an extension to their model which improves fit and also allows forecasting at these high ages. We illustrate our methods with data from the Continuous Mortality Investigation.

Keywords

Forecastingvery high agesmortalitysmoothing
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 41 , Issue 2 , November 2011 , pp. 419 - 427
Copyright
Copyright © International Actuarial Association 2011

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