Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

SFB649DP2016 023

A Mortality Model for Multi-populations: A Semi-Parametric Approach

Lei Fang
Wolfgang K. Härdle
Juhyun Park

Mortality is different across countries, states and regions. Several empirical
research works however reveal that mortality trends exhibit a common pattern and
show similar structures across populations. The key element in analyzing mortality
rate is a time-varying indicator curve. Our main interest lies in validating the
existence of the common trends among these curves, the similar gender differences
and their variability in location among the curves at the national level. Motivated
by the empirical findings, we make the study of estimating and forecasting mortality
rates based on a semi-parametric approach, which is applied to multiple curves with
the shape-related nonlinear variation. This approach allows us to capture the common
features contained in the curve functions and meanwhile provides the possibility to
characterize the nonlinear variation via a few deviation parameters. These parameters
carry an instructive summary of the time-varying curve functions and can be further
used to make a suggestive forecast analysis for countries with barren data sets. In
this research the model is illustrated with mortality rates of Japan and China, and
extended to incorporate more countries. All numerical procedures are transparent and reproduced on

Nonparametric smoothing, Parametric modeling, Common trend, Mortality, Lee-Carter method,

JEL Classification:
C14, C32, C38, J11, J13