Table 4 Goodness of fit of alternative dynamic mortality models
From: A simplified model for measuring longevity risk for life insurance products
Sex | Male | Female | ||||
|---|---|---|---|---|---|---|
Measure/Model | FM | LC | ILC | FM | LC | ILC |
Num. of parameters | 6 | 232 | 231 | 6 | 232 | 231 |
Country | Spain | |||||
 AIC | 36046.63 | 46449.52 | 35022.78 | 33814.05 | 31863.87 | 32391.50 |
 BIC | 36082.87 | 47838.52 | 36405.75 | 33850.29 | 33252.87 | 33774.47 |
 SSE | 28.1986 | 46.9184 | 26.6321 | 44.6881 | 36.5730 | 42.1327 |
 MAE | 0.0609 | 0.0739 | 0.0585 | 0.0741 | 0.0675 | 0.0706 |
 MAPE | 0.0135 | 0.0146 | 0.0128 | 0.0129 | 0.0113 | 0.0119 |
Country | France | |||||
 AIC | 36468.05 | 41579.91 | 35518.20 | 34460.17 | 33370.97 | 33533.03 |
 BIC | 36504.28 | 42968.91 | 36901.17 | 34496.41 | 34759.97 | 34916.00 |
 SSE | 14.6821 | 16.9275 | 13.7486 | 25.0915 | 18.5650 | 23.4846 |
 MAE | 0.0445 | 0.0500 | 0.0425 | 0.0552 | 0.0482 | 0.0532 |
 MAPE | 0.0100 | 0.0104 | 0.0093 | 0.0095 | 0.0083 | 0.0089 |
Country | US | |||||
 AIC | 54064.78 | 85901.35 | 51822.85 | 49278.54 | 63384.20 | 47780.52 |
 BIC | 54101.02 | 87290.36 | 53205.81 | 49314.77 | 64773.21 | 49163.49 |
 SSE | 4.7715 | 10.1247 | 4.2984 | 5.6521 | 6.7899 | 5.3349 |
 MAE | 0.0273 | 0.0400 | 0.0258 | 0.0286 | 0.0350 | 0.0276 |
 MAPE | 0.0062 | 0.0086 | 0.0058 | 0.0053 | 0.0072 | 0.0051 |