title: Mortality, longevity and experiments with the Lee-Carter model.
abstract: 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.
authors.affiliation: Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, UK. S.Haberman@city.ac.uk
authors.forename: Steven
authors.initials: S
authors.lastname: Haberman
authors.forename: Arthur
authors.initials: A
authors.lastname: Renshaw
mesh_terms: D005260:Female; D006801:Humans; D015993:Life Tables; D008136:Longevity; D008297:Male; D015233:Models, Statistical; D009026:Mortality / Q000639:trends*; D017711:Nonlinear Dynamics