1. Gompertz law revisited: Forecasting mortality with a multi-factor exponential model
- Author
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Ken Seng Tan, Shripad Tuljapurkar, Wenjun Zhu, and Hong Li
- Subjects
Statistics and Probability ,Estimation ,Economics and Econometrics ,05 social sciences ,Gompertz function ,01 natural sciences ,Exponential function ,010104 statistics & probability ,Remaining life ,Mortality data ,0502 economics and business ,Laguerre polynomials ,Econometrics ,InformationSystems_MISCELLANEOUS ,050207 economics ,0101 mathematics ,Statistics, Probability and Uncertainty ,Gompertz–Makeham law of mortality ,Mathematics - Abstract
This paper provides a flexible multi-factor framework to address some ongoing challenges in mortality modeling, with a special focus on the mortality curvature and possible mortality plateau for extremely old ages. We extend the Gompertz law Gompertz (1825) by proposing a multi-factor exponential model. The proposed framework is based on the Laguerre approximating functions, and is able to capture flexible mortality patterns, and allows for a convenient estimation and prediction algorithm. An extensive empirical analysis is conducted using the proposed framework with a merged mortality database containing a large number of countries and regions with credible old-age mortality data. We find that the proposed exponential model leads to superior goodness-of-fit to historical data, and better out-of-sample forecast performance. Moreover, the exponential model predicts more balanced mortality improvements across ages, and thus leads to higher projected remaining life expectancy for the old ages than existing Gompertz-based mortality models. Finally, the modeling capacity of the proposed exponential model is further demonstrated by a multi-population extension, and an illustrative example of estimation and forecast is provided.
- Published
- 2021
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