Time series analysis and stochastic forecasting: An econometric study of mortality and life expectancy

Abstract

Methods for time series modeling of mortality and stochastic forecasting of life expectancies are explored, using Canadian data. Consideration is given first to alternative indexes of aggregate mortality. Age-sex group system models are then estimated. Issues in the forecasting of life expectancies are discussed and their quantitative implications investigated. Experimental stochastic forecasts are presented and discussed, based on nonparametric, partially parametric, and fully parametric methods, representing alternatives to the well known Lee-Carter method. Some thoughts are offered on the interpretation of historical data in generating future probability distributions, and on the treatment of demographic uncertainty in long-run policy planning.