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Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions

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Author Info
Heather Booth (Australian National University)
Rob J. Hyndman (Monash University)
Leonie Tickle (Macquarie University)
Piet de Jong (Macquarie University)

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Abstract

We compare the short- to medium-term accuracy of five variants or extensions of the Lee-Carter method for mortality forecasting. These include the original Lee-Carter, the Lee-Miller and Booth-Maindonald-Smith variants, and the more flexible Hyndman-Ullah and De Jong-Tickle extensions. These methods are compared by applying them to sex-specific populations of 10 developed countries using data for 1986-2000 for evaluation. All variants and extensions are more accurate than the original Lee-Carter method for forecasting log death rates, by up to 61%. However, accuracy in log death rates does not necessarily translate into accuracy in life expectancy. There are no significant differences among the five methods in forecast accuracy for life expectancy.

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Publisher Info
Article provided by Max Planck Institute for Demographic Research, Rostock, Germany in its journal Demographic Research.

Volume (Year): 15 (2006)
Issue (Month): 9 (October)
Pages: 289-310
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Handle: RePEc:dem:demres:v:15:y:2006:i:9

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Related research
Keywords: functional data Lee-Carter method mortality forecasting nonparametric smoothing principal components state space

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Find related papers by JEL classification:
J1 - Labor and Demographic Economics - - Demographic Economics
Z0 - Other Special Topics - - General

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  1. Renshaw, A. E. & Haberman, S., 2003. "Lee-Carter mortality forecasting with age-specific enhancement," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 255-272, October. [Downloadable!] (restricted)
  2. Hyndman, Rob J. & Koehler, Anne B. & Snyder, Ralph D. & Grose, Simone, 2002. "A state space framework for automatic forecasting using exponential smoothing methods," International Journal of Forecasting, Elsevier, vol. 18(3), pages 439-454. [Downloadable!] (restricted)
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  3. Rob J. Hyndman & Md. Shahid Ullah, 2005. "Robust forecasting of mortality and fertility rates: a functional data approach," Monash Econometrics and Business Statistics Working Papers 2/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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  4. Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K., 2002. "A Poisson log-bilinear regression approach to the construction of projected lifetables," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 373-393, December. [Downloadable!] (restricted)
  5. Renshaw, A. E. & Haberman, S., 2003. "On the forecasting of mortality reduction factors," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 379-401, July. [Downloadable!] (restricted)
  6. Arthur Renshaw & Steven Haberman, 2003. "Lee-Carter mortality forecasting: a parallel generalized linear modelling approach for England and Wales mortality projections," Journal Of The Royal Statistical Society Series C, Royal Statistical Society, vol. 52(1), pages 119-137. [Downloadable!] (restricted)
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