Actuarial Seminar - Pintao Lyu (Tilburg University)

Title: Coherent mortality forecasting for less developed countries

Abstract: This paper proposes a coherent multi-population approach to mortality forecasting for less developed countries. The majority of these countries have witnessed faster mortality declines among the young and the working age populations during the past decades, whereas in the more developed countries, the contemporary mortality declines have been more substantial among the elders. Along with the socioeconomic developments, mortality patterns of the less developed countries may become closer to those of the more developed countries. As a consequence, forecasting long-term mortality of a less developed country by simply extrapolating its historical patterns might lead to implausible results. As an alternative, this paper proposes to incorporate the mortality patterns of a group of more developed countries as the benchmark to improve the forecast for a less developed one. With the long-term, between-country coherence in mind, we let the less developed country's age-specific mortality improvement rates to gradually converge to those of the benchmark countries during the projection phase. Further, we employ a data-driven, threshold hitting approach to control the speed of this convergence. Our method is applied to China, Brazil, and Nigeria. We conclude that taking into account the gradual convergence of mortality pattern can lead to more reasonable long-term forecasts for the less developed countries.