Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type
Research output: Contribution to journal › Article
The predominant way of modelling mortality rates is the Lee–Carter model and its many extensions. The Lee–Carter model and its many extensions use a latent process to forecast. These models are estimated using a two-step procedure that causes an inconsistent view on the latent variable. This paper considers identifiability issues of these models from a perspective that acknowledges the latent variable as a stochastic process from the beginning. We call this perspective the plug-in age–period or plug-in age–period–cohort model. Defining a parameter vector that includes the underlying parameters of this process rather than its realizations, we investigate whether the expected values and covariances of the plug-in Lee–Carter models are identifiable. It will be seen, for example, that even if in both steps of the estimation procedure we have identifiability in a certain sense it does not necessarily carry over to the plug-in models.
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|Number of pages||9|
|Journal||Insurance: Mathematics and Economics|
|Publication status||Published - 2017 Jul 1|