Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach

Abstract

This paper proposes a multi-level hierarchical credibility regression approach to model multi-population mortality data. Future mortality rates are derived using extrapolation techniques, while the forecasting performances between the proposed model, the original Lee–Carter model and two Lee–Carter extensions for multiple populations are compared for both genders of three northern European countries with small populations (Ireland, Norway, Finland). Empirical illustrations show that the proposed method produces more accurate forecasts than the Lee–Carter model and its multi-population extensions.