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Extending Lee-Carter Mortality Forecasting

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  • Piet De Jong
  • Leonie Tickle
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    Abstract

    The Lee-Carter method for mortality forecasting is outlined, discussed and improved utilizing standard time series approaches. The new framework, which integrates estimation and forecasting, delivers more robust results and permits more detailed insight into underlying mortality dynamics. An application to women's mortality data illustrates the methods.

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Mathematical Population Studies.

    Volume (Year): 13 (2006)
    Issue (Month): 1 ()
    Pages: 1-18

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    Handle: RePEc:taf:mpopst:v:13:y:2006:i:1:p:1-18

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    Related research

    Keywords: Lee-Carter method; forecasting; Kalman filtering; mortality;

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    Cited by:
    1. Han Lin Shang & Heather Booth & Rob Hyndman, 2011. "Point and interval forecasts of mortality rates and life expectancy: A comparison of ten principal component methods," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 25(5), pages 173-214, July.
    2. Heather Booth & Rob Hyndman & Leonie Tickle & Piet de Jong, 2006. "Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 15(9), pages 289-310, October.
    3. Jorge Bravo, 2011. "Pricing Longevity Bonds Using Affine-Jump Diffusion Models," CEFAGE-UE Working Papers 2011_29, University of Evora, CEFAGE-UE (Portugal).
    4. Adrian Raftery & Jennifer Chunn & Patrick Gerland & Hana Ševčíková, 2013. "Bayesian Probabilistic Projections of Life Expectancy for All Countries," Demography, Springer, vol. 50(3), pages 777-801, June.
    5. Mitchell, Daniel & Brockett, Patrick & Mendoza-Arriaga, Rafael & Muthuraman, Kumar, 2013. "Modeling and forecasting mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 275-285.
    6. Wolfgang Reichmuth & Samad Sarferaz, 2008. "Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality," SFB 649 Discussion Papers SFB649DP2008-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    7. Lenny Stoeldraijer & Coen van Duin & L.J.G van Wissen & Fanny Janssen, 2013. "Impact of different mortality forecasting methods and explicit assumptions on projected future life expectancy: The case of the Netherlands," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 29(13), pages 323-354, August.
    8. Han Lin Shang & Rob J Hyndman & Heather Booth, 2010. "A comparison of ten principal component methods for forecasting mortality rates," Monash Econometrics and Business Statistics Working Papers 8/10, Monash University, Department of Econometrics and Business Statistics.
    9. Wolfgang Reichmuth & Samad Sarferaz, 2008. "Modeling and Forecasting Age-Specific Mortality: A Bayesian Approach," SFB 649 Discussion Papers SFB649DP2008-052a, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

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