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Mortality projection models

Mortality projection models:


Age-Period-Cohort models


c University of New South Wales
School of Risk and Actuarial Studies

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Mortality projection models
Age-Period-Cohort Models

Cohort effects

Statistical evidence both period


and cohort effect have an impact on
mortality improvements
Period effects approximate
contemporary factors
General health status of the
population
Healthcare services available
Critical weather conditions
Cohort effects approximate historical
factors
World War II
Diet
Welfare State (in the UK)
Smoking habits
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Mortality projection models
Age-Period-Cohort Models

Age-Period-Cohort models

APC models (Age-Period-Cohort) include both period and


cohort effects (as well as age effect)
APC model in terms of force of mortality

xt = Q(x )R(t)S(t| x)
{z }
c

In log terms

log xt = log Q(x ) + log R(t) + log S(t x )

Basic problem in splitting mortality like this is:

cohort + age = period


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Mortality projection models
Age-Period-Cohort Models

Age-Period-Cohort models: Classic APC model


A widely used structured used in medicine, psychology and
demography
log xt = x + t + tx
Estimation using Poisson maximum likelihood or weighted
least squares
No unique set of parameters resulting in optimal fit due to
c =t x

(x , t , tx ) (x + 1 2 x , t + 2 t, tx 1 2 (t x ))
(x , t , tx ) (x + c1 , t c1 , tx )

Impose constraints
X X X
t = 0, c = 0, cc = 0
t c c
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Mortality projection models
Age-Period-Cohort Models

Classic APC model: England and Wales Males

x vs. x (1) tx vs. tx


t vs. t

0.0 0.2 0.4

0.2
2

0.0
4
6

0.4

0.4
8

0 20 40 60 80 100 1960 1980 2000 1900 1950 2000

age year cohort

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