Next Article in Journal
Bubbles, Blind-Spots and Brexit
Next Article in Special Issue
Special Issue “Actuarial and Financial Risks in Life Insurance, Pensions and Household Finance”
Previous Article in Journal
Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios
Previous Article in Special Issue
Applying spectral biclustering to mortality data
Open AccessArticle

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

by Carlo Maccheroni 1,2,* and Samuel Nocito 2,*
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
Risks 2017, 5(3), 34; https://doi.org/10.3390/risks5030034
Received: 23 December 2016 / Revised: 21 June 2017 / Accepted: 27 June 2017 / Published: 4 July 2017
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
Show Figures

Figure 1

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.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Search more from Scilit
 
Search
Back to TopTop