Academic Journal
Enhancing actuarial projections: a factor-augmented cohort component method for forecasting age- and gender-specific population.
| Τίτλος: | Enhancing actuarial projections: a factor-augmented cohort component method for forecasting age- and gender-specific population. |
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| Συγγραφείς: | Bi, Daning1 (AUTHOR), Zeng, Yan2 (AUTHOR) zengy36@mail.sysu.edu.cn |
| Πηγή: | Scandinavian Actuarial Journal. Dec2025, p1-25. 25p. 8 Illustrations. |
| Θεματικοί όροι: | *Pensions, *Retirement age, *Demographic change, Population forecasting, Population biology, Life expectancy, Cohort analysis, Age groups |
| Γεωγραφικοί όροι: | China |
| Περίληψη: | Population forecasting is critical for actuarial practice, particularly in assessing longevity risk, pricing life annuities, and evaluating pension fund sustainability. Traditional cohort component methods face dimensionality challenges when projecting age- and gender-specific populations for large countries with limited data. In this work, we propose a Factor-augmented Cohort Component Method (FaCCM) that integrates time-varying Leslie matrices with factor modeling to generate mid-to-long-term probabilistic forecasts. Unlike existing approaches, our method requires only census data, avoids restrictive parametric assumptions, and quantifies uncertainties via bootstrapped prediction intervals, which is crucial for actuarial applications such as measuring pension deficits and designing cohort-specific annuities. We validate the FaCCM's performance using simulations and real data, and demonstrate its ability to interpret latent factors driving changes in fertility (e.g. delayed childbearing), improvements in mortality, and shifts in migration patterns. Finally, we apply the FaCCM to China's aging population, projecting demographic shifts through 2060 and quantifying the financial impact of the 2025 retirement delay policy. Our analysis reveals that raising the retirement age to 63 for men and 58 for women reduces the old-age dependency ratio by 15% by 2040, yet is insufficient to stabilize the pay-as-you-go pension expenditures. [ABSTRACT FROM AUTHOR] |
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