Evaluating the goodness of fit of stochastic mortality models

This study sets out a framework to evaluate the goodness of fit of stochastic mortality models and applies it to six different models estimated using English & Welsh male mortality data over ages 64-89 and years 1961-2007 The methodology exploits the structure of each model to obtain various residual series that are predicted to be lid standard normal under the null hypothesis of model adequacy Goodness of fit can then be assessed using conventional tests of the predictions of and standard normality The models considered are Lee and Carter s (1992) one-factor model a version of Renshaw and Haberman s (2006) extension of the Lee-Carter model to allow for a cohort-effect the age-period-cohort model which is a simplified version of the Renshaw-Haberman model the 2006 Cairns-Blake-Dowd two-factor model and two generalized versions of the latter that allow for a cohort-effect For the data set considered there are some notable differences amongst the different models but none of the models performs well in all tests and no model clearly dominates the others (C) 2010 Elsevier B V All rights reserved