Feasibility of Singular Spectrum Analysis in the Field of Forecasting Mortality Rate

Abstract

The Lee-Carter model and its extensions are the most popular methods in the field of forecasting mortality rate. But, in spite of introducing several different methods in forecasting mortality rate so far, there is no general method applicable to all situations. Singular Spectrum Analysis (SSA) is a relatively new, powerful and non- parametric time series analysis that its capability in forecasting different time series has been proven in the various sciences. In this paper, we investigate the feasibility of using the SSA to construct mortality forecasts. We use the Hyndman-Ullah model, which is a new extension of Lee-Carter model, as a benchmark to evaluate the performance of the SSA for mortality forecasts in France data sets.