Li, J., Wang, M., Liu, J., & Tickle, L., 2024, Scandinavian Actuarial Journal, forthcoming.
Abstract: In this paper, we investigate the use of ensemble interval forecasts in mortality modelling. The construction of ensemble interval forecasts involves combining the prediction intervals generated from different mortality models in order to improve the interval coverage. We consider a wide range of combination methods, including the simple and weighted averaging, median, mode, envelope, interior and exterior trimming, and probability averaging of endpoints and simple averaging of midpoints. For the mortality models, we adopt the Lee-Carter and Cairns-Blake-Dowd families of models, as well as autoregressive models. Using the mortality data of six populations, we find that the prediction intervals produced by the proposed ensemble approach generally outperform those generated individually from a single mortality model.