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Modelling and Forecasting Mortality Patterns
Orientador(es)
Resumo(s)
This work considers the problem of modelling and forecasting mortality.
In the context of the Lee-Carter model, where the overall temporal pattern of
mortality is well described by a time-varying index moderated by age-specific effects,
the study proposes a sequential testing procedure valid in the presence of a structural
change in the index of mortality, which allows the identification of the appropriate
model used in forecasting future mortality patterns. Testing procedures proposed are
applied to Portugal, and other eighteen developed countries, using data for the period
1950-2007. Structural changes in the overall time trend are found in Portugal, as well as
in other developed countries, occurring mainly in male mortality. The impacts of a
neglected structural change in the overall temporal behaviour of mortality are illustrated
for the case of male Portuguese population.
In order to better understand male and female mortality patterns in Portugal,
several descriptive measures and visualization techniques are used and various
extensions of the Lee-Carter model are applied. Changing rhythms of decline over ages
and time are found. The possibility of a cohort effect in male mortality is also
suggested.
Finally, cohort specific influences in male Portuguese mortality patterns are
studied using log-linear additive age-period-cohort models, as well as models allowing
for age interaction with period and cohort effects. The evidence is favourable to the
existence of cohort effects influencing male population patterns, with some generations
experiencing stabilizing or even poor mortality conditions than preceding and
subsequent cohorts.
Descrição
Thesis submitted in partial fulfillment of the requirements for the Degree of Doctor of Statistics and Information Management
Palavras-chave
Age-period-cohort model Cohort effects Lee-Carter model Mortality forecasting Structural change Unit root