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Coherent Mortality Forecasting The Product-ratio Method with Functional Time Series Models

Author

Listed:
  • Rob J Hyndman

    (Department of Econometrics and Business Statistics, Monash University)

  • Heather Booth

    (Australian Demographic and Social Research Institute, The Australian National University and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales)

  • Farah Yasmeen

    (Department of Econometrics and Business Statistics, Monash University)

Abstract

When independence is assumed, forecasts of mortality for subpopulations are almost always divergent in the long term. We propose a method for non-divergent or coherent forecasting of mortality rates for two or more subpopulations, based on functional principal components models of simple and interpretable functions of rates. The product-ratio functional forecasting method models and forecasts the geometric mean of subpopulation rates and the ratio of subpopulation rates to product rates. Coherence is imposed by constraining the forecast ratio function through stationary time series models. The method is applied to sex-specific data for Sweden and state-specific data for Australia.

Suggested Citation

  • Rob J Hyndman & Heather Booth & Farah Yasmeen, 2011. "Coherent Mortality Forecasting The Product-ratio Method with Functional Time Series Models," Working Papers 201116, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
    • Handle: RePEc:asb:wpaper:201116
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Mortality forecasting; coherent forecasts; functional data; Lee-Carter method; life expectancy; mortality; age pattern of mortality; sex-ratio;
    All these keywords.

    JEL classification:

    • J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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