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A simple model of mortality trends aiming at universality: Lee Carter + Cohort

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  • Edouard Debonneuil
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    Abstract

    The Lee Carter modelling framework is widely used because of its simplicity and robustness despite its inability to model specific cohort effects. A large number of extensions have been proposed that model cohort effects but there is no consensus. It is difficult to simultaneously account for cohort effects and age-adjusted improvements and we here test a simple model that accounts for both: we simply add a non age-adjusted cohort component to the Lee Carter framework. This is a trade-off between accuracy and robustness but, for various countries present in the Human Mortality Database and compared to various models, the model accurately fits past mortality data and gives good backtesting projections.

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    File URL: http://arxiv.org/pdf/1003.1802
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1003.1802.

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    Date of creation: Mar 2010
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    Handle: RePEc:arx:papers:1003.1802

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    Web page: http://arxiv.org/

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    1. Renshaw, A.E. & Haberman, S., 2006. "A cohort-based extension to the Lee-Carter model for mortality reduction factors," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 556-570, June.
    2. 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.
    3. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 355-367, May.
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    Cited by:
    1. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 355-367, May.

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