Evaluation of the Kou-Modified Lee-Carter Model in Mortality Forecasting: Evidence from French Male Mortality Data
Abstract
:1. Introduction
2. The Model Specification
2.1. The Lee-Carter Model
2.2. The Age-Period-Cohort Model
2.3. The Cairns-Blake-Dowd Model
2.4. The Kou-Modified Lee-Carter Model
2.4.1. Equivalence of the PBJD Model and DEJD Process
2.4.2. Parameter Estimation
3. Mortality Data
3.1. Data Analysis
3.2. The Backtesting Procedure
4. Application of the Models
4.1. Application of the APC Model
4.2. Application of the CBD Model
4.3. Application of the Lee-Carter Model
4.3.1. Random Walk with Drift
4.3.2. Application of the Kou Model on the Lee-Carter Mortality Index
5. Performance Metrics
6. Results
7. Concluding Remarks
Author Contributions
Funding
Acknowledgments
Conflicts of Interest
Appendix A. SVD Procedure Used in the Lee-Carter Model
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1 | Data downloaded on September 2017. Source: https://www.mortality.org/. |
1900–1960 Period | ||||
---|---|---|---|---|
Models | Average RMSE | Average MAE | Average MPE | Average MAPE |
APC | 0.013063 | 0.006709 | 12.8334 | 16.30235 |
CBD | 0.014837 | 0.007495 | 15.08032 | 18.38768 |
Lee-Carter | 0.012102 | 0.006798 | 13.65589 | 15.49652 |
Lee-Carter Kou-Modified Mortality Index | 0.003029 | 0.003153 | 10.27675 | 13.58456 |
1961–2015 Period | ||||
---|---|---|---|---|
Models | Average RMSE | Average MAE | Average MPE | Average MAPE |
APC | 0.008016 | 0.016184 | 16.03057 | 18.92784 |
CBD | 0.013744 | 0.02708 | 25.13116 | 26.68533 |
Lee-Carter | 0.006764 | 0.00852 | 13.48385 | 15.88327 |
Lee-Carter Kou-Modified Mortality Index | 0.018139 | 0.030101 | 28.11825 | 30.23325 |
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Alijean, M.A.C.; Narsoo, J. Evaluation of the Kou-Modified Lee-Carter Model in Mortality Forecasting: Evidence from French Male Mortality Data. Risks 2018, 6, 123. https://doi.org/10.3390/risks6040123
Alijean MAC, Narsoo J. Evaluation of the Kou-Modified Lee-Carter Model in Mortality Forecasting: Evidence from French Male Mortality Data. Risks. 2018; 6(4):123. https://doi.org/10.3390/risks6040123
Chicago/Turabian StyleAlijean, Marie Angèle Cathleen, and Jason Narsoo. 2018. "Evaluation of the Kou-Modified Lee-Carter Model in Mortality Forecasting: Evidence from French Male Mortality Data" Risks 6, no. 4: 123. https://doi.org/10.3390/risks6040123
APA StyleAlijean, M. A. C., & Narsoo, J. (2018). Evaluation of the Kou-Modified Lee-Carter Model in Mortality Forecasting: Evidence from French Male Mortality Data. Risks, 6(4), 123. https://doi.org/10.3390/risks6040123