Multi-country forecasts of age distribution of deaths: Life expectancy and annuity valuation (2507.04303v1)

Abstract: We investigate two transformations within the framework of compositional data analysis for forecasting the age distribution of death counts. Drawing on age-specific period life-table death counts from 24 countries in the Human Mortality Database, we assess and compare the point and interval forecast accuracy of the two transformations. Enhancing the forecast accuracy of period life-table death counts holds significant value for demographers, who rely on such forecasts to estimate survival probabilities and life expectancy, and for actuaries, who use them to price temporary annuities across various entry ages and maturities. While our primary focus is on temporary annuities, we also consider long-term contracts that, particularly at higher entry ages, approximate lifetime annuities.