Coherent modeling of male and female mortality using Lee–Carter in a complex number framework

Forecasts of female and male mortality that are conducted independently run the risk of projecting implausible sex differentials and fail to exploit correlations that are known to exist between the sexes. We present a new model for the simultaneous modeling of female and male mortality. The model ca...

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Bibliographic Details
Published inInsurance, mathematics & economics Vol. 71; pp. 130 - 137
Main Authors de Jong, Piet, Tickle, Leonie, Xu, Jianhui
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.11.2016
Elsevier Sequoia S.A
Subjects
Coherent forecasts
Complex-valued process
Correlation analysis
Females
Gender differences
Lee–Carter model
Life expectancy
Males
Modelling
Mortality
Mortality forecasting
Singular value decomposition
Studies
Complex-valued process
Coherent forecasts
Life expectancy
Lee–Carter model
Mortality forecasting
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Summary:Forecasts of female and male mortality that are conducted independently run the risk of projecting implausible sex differentials and fail to exploit correlations that are known to exist between the sexes. We present a new model for the simultaneous modeling of female and male mortality. The model casts mortality as a complex-valued process where the real and imaginary parts correspond to female and male mortalities, respectively. Calculations proceed similarly to the usual Lee–Carter model, via the singular value decomposition, albeit in complex form. Initial applications suggest that the complex Lee–Carter gives fits that are broadly comparable to independent real fits, while offering the advantage of explicit modeling of the relationship between the sexes. Furthermore, model parameters are informative and easily-interpretable.
ISSN:0167-6687
1873-5959
DOI:10.1016/j.insmatheco.2016.08.003