Mortality, longevity and experiments with the Lee-Carter model.
The paper reviews the Lee-Carter modelling framework, illustrated with an application, and then extends the framework through the development of a wider class of generalised, parametric, non-linear models. The choice of error distribution is also generalised. These extensions permit the modelling and extrapolation of age-specific cohort effects as well as the more familiar age-specific period effects: the age-period-cohort version of the model is discussed with a worked example. The paper also provides a comparative study of simulation strategies for assessing risk in mortality rate predictions and the associated forecast estimates of life expectancy and annuity values in both period and cohort perspectives.
Haberman
Steven
S
Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, UK. S.Haberman@city.ac.uk
Renshaw
Arthur
A
D005260:Female; D006801:Humans; D015993:Life Tables; D008136:Longevity; D008297:Male; D015233:Models, Statistical; D009026:Mortality / Q000639:trends*; D017711:Nonlinear Dynamics