Forecasting with the age-period-cohort model?
نویسنده
چکیده
Future pension liabilities depend critically on the life expectancy of the members of a pension scheme. This remark applies equally to public and private schemes, and to defined-benefit and defined-contribution schemes. Some pension providers use the age-period-cohort model to forecast mortality. We examine some of the pitfalls in this approach. Our methods are based on the theory of constrained generalized linear models and are illustrated with mortality data from the UK Office of National Statistics.
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