Lifetime Data Analysis

, Volume 14, Issue 3, pp 286–315

Mortality, longevity and experiments with the Lee–Carter model

Article

DOI: 10.1007/s10985-008-9084-2

Cite this article as:
Haberman, S. & Renshaw, A. Lifetime Data Anal (2008) 14: 286. doi:10.1007/s10985-008-9084-2

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.

Keywords

Mortality rates Forecasting Lee–Carter model Cohort effect Prediction intervals 

Copyright information

© Springer Science+Business Media, LLC 2008

Authors and Affiliations

  1. 1.Cass Business SchoolCity UniversityLondonUK

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