Forecasting Canadian Age-Specific Mortality Rates: Application of Functional Time Series Analysis

In the insurance and pension industries, as well as in designing social security systems, forecasted mortality rates are of major interest. The current research provides statistical methods based on functional time series analysis to improve mortality rate prediction for the Canadian population. The proposed functional time series-based model was applied to the three-mortality series: total, male and female age-specific Canadian mortality rate over the year 1991 to 2019. Descriptive measures were used to estimate the overall temporal patterns and the functional principal component regression model (fPCA) was used to predict the next ten years mortality rate for each series. Functional autoregressive model (fAR (1)) was used to measure the impact of one year age differences on mortality series. For total series, the mortality rates for children have dropped over the whole data period, while the difference between young adults and those over 40 has only been falling since about 2003 and has leveled off in the last decade of the data. A moderate to strong impact of age differences on Canadian age-specific mortality series was observed over the years. Wider application of fPCA to provide more accurate estimates in public health, demography, and age-related policy studies should be considered.

Automated summary

This research uses statistical methods based on functional time series analysis to improve mortality rate prediction for the Canadian population. It explores the impact of age differences on mortality series and suggests wider application of functional principal component analysis in public health and age-related policy studies.