Multipopulation mortality modelling and forecasting: the weighted multivariate functional principal component...

Human mortality patterns and trajectories in closely related populations are likely linked together and share similarities. It is always desirable to model them simultaneously while taking their heterogeneity into account. This article introduces two new models for joint mortality modelling and forecasting multiple subpopulations using the multivariate functional principal component analysis techniques. The first model extends the independent functional data model to a multipopulation modelling setting. In the second one, we propose a novel multivariate functional principal component method for coherent modelling. Its design primarily fulfils the idea that when several subpopulation groups have similar socio-economic conditions or common biological characteristics such close connections are expected to evolve in a non-diverging fashion. We demonstrate the proposed methods by using sex-specific mortality data. Their forecast performances are further compared with several existing models, including the independent functional data model and the Product-Ratio model, through comparisons with mortality data of ten developed countries. The numerical examples show that the first proposed model maintains a comparable forecast ability with the existing methods. In contrast, the second proposed model outperforms the first model as well as the existing models in terms of forecast accuracy.