Pitfalls and merits of cointegration-based mortality models
| Autor: | Søren Fiig Jarner, Snorre Jallbjørn |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Lee–Carter model 050208 finance Cointegration Computer science 05 social sciences Coherence (statistics) Identification invariance 01 natural sciences 010104 statistics & probability Identification (information) 0502 economics and business Econometrics CBD-model 0101 mathematics Statistics Probability and Uncertainty Model building Coherence Mortality modelling |
| Zdroj: | Jarner, S F & Jallbjørn, S 2020, ' Pitfalls and merits of cointegration-based mortality models ', Insurance: Mathematics and Economics, vol. 90, pp. 80-93 . https://doi.org/10.1016/j.insmatheco.2019.10.005 |
| DOI: | 10.1016/j.insmatheco.2019.10.005 |
| Popis: | In recent years, joint modelling of the mortality of related populations has received a surge of attention. Several of these models employ cointegration techniques to link underlying factors with the aim of producing coherent projections, i.e. projections with non-diverging mortality rates. Often, however, the factors being analysed are not fully identifiable and arbitrary identification constraints are (inadvertently) allowed to influence the analysis thereby compromising its validity. Taking the widely used Lee–Carter model as an example, we point out the limitations and pitfalls of cointegration analysis when applied to semi-identifiable factors. On the other hand, when properly applied cointegration theory offers a rigorous framework for identifying and testing long-run relations between populations. Although widely used as a model building block, cointegration as an inferential tool is often overlooked in mortality analysis. Our aim with this paper is to raise awareness of the inferential strength of cointegration and to identify the time series models and hypotheses most suitable for mortality analysis. The concluding application to UK mortality shows by example the insights that can be obtained from a full cointegration analysis. |
| Databáze: | OpenAIRE |
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