Article
Version 1
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Backtesting the Lee-Carter and the Cairns-Blake-Dowd Stochastic Mortality Models on Italian Death Rates
Version 1
: Received: 11 January 2017 / Approved: 13 January 2017 / Online: 13 January 2017 (01:56:49 CET)
Version 2 : Received: 5 May 2017 / Approved: 8 May 2017 / Online: 8 May 2017 (07:38:50 CEST)
Version 2 : Received: 5 May 2017 / Approved: 8 May 2017 / Online: 8 May 2017 (07:38:50 CEST)
A peer-reviewed article of this Preprint also exists.
Maccheroni, C.; Nocito, S. Backtesting the Lee–Carter and the Cairns–Blake–Dowd Stochastic Mortality Models on Italian Death Rates. Risks 2017, 5, 34. Maccheroni, C.; Nocito, S. Backtesting the Lee–Carter and the Cairns–Blake–Dowd Stochastic Mortality Models on Italian Death Rates. Risks 2017, 5, 34.
Abstract
The work proposes a backtesting analysis in comparison between the Lee-Carter and the Cairns-Blake-Dowd mortality models, employing Italian data. The mortality data come from the Italian National Statistics Institute (ISTAT) database and span the period 1975-2014, over which we computed back-projections evaluating the performances of the models in comparisons with real data. We propose three different backtest approaches, evaluating the goodness of short-run forecast versus long-run ones. We find that both models were not able to capture the improving shock on the mortality observed for the male population on the analyzed period. Moreover, the results suggest that CBD forecast are reliable prevalently for ages above 75, and that LC forecast are basically more accurate for this data.
Keywords
lee-carter; cairns-blake-dowd; mortality models; backtesting
Subject
Business, Economics and Management, Econometrics and Statistics
Copyright: This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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