Identification and Forecasting in Mortality Models

Abstract EN

Mortality models often have inbuilt identification issues challenging the statistician.

The statistician can choose to work with well-defined freely varying parameters, derived as maximal invariants in this paper, or with ad hoc identified parameters which at first glance seem moreintuitive, but which can introduce a number of unnecessary challenges.

In this paper we describe the methodological advantages from using the maximalinvariant parameterisation and we go through the extra methodological challenges a statistician has to deal with when insisting on working with adhoc identifications.

These challenges are broadly similar in frequentist and in Bayesian setups.

We also go through a number of examples from theliterature where ad hoc identifications have been preferred in the statistical analyses.