Abstract
In this paper we propose Bayesian specifications of four of the most widespread models used for mortality projection: Lee-Carter, Renshaw-Haberman, Cairns-Blake-Dowd, and its extension including cohort effects. We introduce the Bayesian model averaging in mortality projection in order to obtain an assembled model considering model uncertainty. We work with Spanish mortality data from the Human Mortality Database, and results suggest that applying this technique yields projections with better properties than those obtained with the individual models considered separately.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Cairns, A., Blake, D., Dowd, K.: A two factor model for stochastic mortality with parameter uncertainty: theory and calibration. J. Risk Insur. 73(4), 687–718 (2006)
Chib, S.: Marginal likelihood from the Gibbs output. J. Am. Stat. Assoc. 432(90), 1313–1321 (1995)
Hoeting, J.A.: Methodology for Bayesian model averaging: an update. International Biometrics Conference Proceedings (2002). http://www.stat.colostate.edu/~jah/papers/ibcbma.pdf
Hoeting, J.A., Madigan, D., Raftery, A.E., Volinsky, C.T.: Bayesian model averaging. In: Proceedings of the AAAI Workshop on Integrating Multiple Learned Models, pp. 77–83 (1998)
Hoeting, J.A., Madigan, D., Raftery, A.E., Volinsky, C.T.: Bayesian model averaging: a tutorial. Stat. Sci. 14, 382–401 (1999)
Lee, R.D., Carter, L.R.: Modeling and forecasting U.S. mortality. J. Am. Stat. Soc. 87, 659–675 (1992)
Plummer, M., et al.: JAGS: a program for analysis of Bayesian graphical models using Gibbs sampling. In: Proceedings of the Third International Workshop on ‘Distributed Statistical Computing’ (2003)
R Core Team: R: A Language and Environment for Statistical Computing (2012)
Renshaw, A.E., Haberman, S.: A cohort-based extension to the Lee-Carter model for mortality reduction factors. Insur. Math. Econ. 38, 556–570 (2006)
Su, Y.S., Yajima, M.: R2jags: Using R to Run ‘JAGS’ (2015)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2018 Springer International Publishing AG, part of Springer Nature
About this chapter
Cite this chapter
Benchimol, A.G., Diazaraque, J.M.M., Lozano, I.A., Alonso-González, P.J. (2018). Mortality Projection Using Bayesian Model Averaging. In: Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-89824-7_20
Download citation
DOI: https://doi.org/10.1007/978-3-319-89824-7_20
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-89823-0
Online ISBN: 978-3-319-89824-7
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)