A Bayesian Approach to Developing a Stochastic Mortality Model for China

Johnny Siu-Hang Li, University of Waterloo
Kenneth Q. Zhou, Arizona State University
Xiaobai Zhu, University of Waterloo
Wai Sum Chan , The Chinese University of Hong Kong
Felix Wai-Hon Chan, University of Hong Kong

Stochastic mortality models have a wide range of applications. They are particularly important for analysing Chinese mortality, which is subject to rapid and uncertain changes. However, owing to data-related problems, stochastic modelling of Chinese mortality has not been given adequate attention. We attempt to use a Bayesian approach to model the evolution of Chinese mortality over time, taking into account all of the problems associated with the data set. We build on the Gaussian state space formulation of the Lee-Carter model, introducing new features to handle the missing data points, to acknowledge the fact that the data are obtained from different sources and to mitigate the erratic behaviour of the parameter estimates that arises from the data limitations. The approach proposed yields stochastic mortality forecasts that are in line with both the trend and the variation of the historical observations. We further use simulated pseudodata sets with resembling limitations to validate the approach. The validation result confirms our approach’s success in dealing with the limitations of the Chinese mortality data.

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 Presented in Session P2. Poster Session Ageing, Health and Mortality