Abstract:Many existing mortality models follow the framework of classical factor models, such as the Lee-Carter model and its variants. Latent common factors in factor models are defined as time-related mortality indices (such as κ t in the Lee-Carter model). Factor loadings, which capture the linear relationship between age variables and latent common factors (such as β x in the Lee-Carter model), are assumed to be time-invariant in the classical framework. This assumption is usually too restrictive in reality as mort… Show more
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