Preprint Article Version 2 This version not peer reviewed

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)

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.

Journal reference: Risks 2017, 5, 34
DOI: 10.3390/risks5030034

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 medium-length 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.

Subject Areas

lee-carter; cairns-blake-dowd; mortality models; backtesting

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