文章基本信息

标题：A Quantitative Comparison of Stochastic Mortality Models Using Data from England & Wales and the United States
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作者：Andrew J.G. Cairns ; Davie Blake ; Kevin Dowd 等
期刊名称：Discussion Paper / The Pensions Institute
印刷版ISSN：1367-580X
出版年度：2007
卷号：2007
页码：1-35
出版社：Pensions Institute
摘要：We compare quantitatively eight stochastic models explaining improvements in mortality rates in England and Wales and in the United States. On the basis of the Bayes Information Criterion (BIC), we find that, for higher ages, an extension of the Cairns-Blake-Dowd (CBD) model that incorporates a cohort effect fits the England and Wales males data best, while for U.S. males data, the Renshaw and Haberman (RH) extension to the Lee and Carter model that also allows for a cohort effect provides the best fit. However, we identify problems with the robustness of parameter estimates under the RH model, calling into question its suitability for forecasting. A different extension to the CBD model that allows not only for a cohort effect, but also for a quadratic age effect, while ranking below the other models in terms of the BIC, exhibits parameter stability across different time periods for both datasets. This model also shows, for both datasets, that there have been approximately linear improvements over time in mortality rates at all ages, but that the improvements have been greater at lower ages than at higher ages, and that there are significant cohort effects.