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Risks 2017, 5(3), 34; doi:10.3390/risks5030034

Backtesting the Lee–Carter and the Cairns–Blake–Dowd Stochastic Mortality Models on Italian Death Rates

1
Dondena Centre for Research on Social Dynamics, Bocconi University, 20100 Milano, Italy
2
University of Turin, 10124 Torino, Italy
*
Authors to whom correspondence should be addressed.
Academic Editor: Luca Regis
Received: 23 December 2016 / Revised: 21 June 2017 / Accepted: 27 June 2017 / Published: 4 July 2017

Abstract

This work proposes a backtesting analysis that compares the Lee–Carter and the Cairns–Blake–Dowd mortality models, employing Italian data. The mortality data come from the Italian National Statistics Institute (ISTAT) database and span the period 1975–2014, over which we computed back-projections evaluating the performances of the models compared with real data. We propose three different backtest approaches, evaluating the goodness of short-run forecast versus medium-length ones. We find that neither model was able to capture the improving shock on mortality observed for the male population on the analysed period. Moreover, the results suggest that CBD forecasts are reliable prevalently for ages above 75, and that LC forecasts are basically more accurate for this data. View Full-Text
Keywords: lee-carter model; cairns-blake-dowd model; backtesting; mortality forecast lee-carter model; cairns-blake-dowd model; backtesting; mortality forecast
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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MDPI and ACS Style

Maccheroni, C.; Nocito, S. Backtesting the Lee–Carter and the Cairns–Blake–Dowd Stochastic Mortality Models on Italian Death Rates. Risks 2017, 5, 34.

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