Cohort effects in mortality modelling: a Bayesian state-space approach

Abstract

Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under the generalised linear modelling framework. In this paper we approach the problem of mortality modelling with cohort factors incorporated through a novel formulation under a state-space methodology. In the process we demonstrate that cohort factors can be formulated naturally under the state-space framework, despite the fact that cohort factors are indexed according to year-of-birth rather than year. Bayesian inference for cohort models in a state-space formulation is then developed based on an efficient Markov chain Monte Carlo sampler, allowing for the quantification of parameter uncertainty in cohort models and resulting mortality forecasts that are used for life expectancy and life table constructions. The effectiveness of our approach is examined through comprehensive empirical studies involving male and female populations from various countries. Our results show that cohort patterns are present for certain countries that we studied and the inclusion of cohort factors are crucial in capturing these phenomena, thus highlighting the benefits of introducing cohort models in the state-space framework. Forecasting of cohort models is also discussed in light of the projection of cohort factors.

Tree-Based Machine Learning Methods for Modeling and Forecasting Mortality

“…After fitting the model, the time and cohort components are forecast using standard Box-Jenkins (ARIMA) procedures. To overcome the identifiability issues related to the estimation of stochastic mortality models, some studies suggest estimating the models as state space models (see, for example, Fung et al, 2017Fung et al, , 2019. Another issue of stochastic mortality models is related to their inability to model the age pattern of mortality decline in developed countries which is decelerating at younger ages and accelerating at older ages.…”