Mortality projection using Bayesian model averaging

Abstract

In this paper we propose Bayesian specifications of four of the most widespread models used for mortality projection: Lee-Carter, Renshaw-Haberman, Cairns-Blake-Dowd, and its extension including cohort effects. We introduce the Bayesian model averaging in mortality projection in order to obtain an assembled model consideringmodel uncertainty.We work with Spanishmortality data fromthe Human Mortality Database, and results suggest that applying this technique yields projections with better properties than those obtained with the individual models considered separately.