Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions
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.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hyndman, Rob J. & Shahid Ullah, Md., 2007.
"Robust forecasting of mortality and fertility rates: A functional data approach,"
Computational Statistics & Data Analysis,
Elsevier, vol. 51(10), pages 4942-4956, June.
- 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.
- 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.
- 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.
- 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.
- Hyndman, R.J. & Koehler, A.B. & Snyder, R.D. & Grose, S., 2000. "A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods," Monash Econometrics and Business Statistics Working Papers 9/00, Monash University, Department of Econometrics and Business Statistics.
- 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.
- 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.
- John Bongaarts, 2005. "Long-range trends in adult mortality: Models and projection methods," Demography, Springer, vol. 42(1), pages 23-49, February.
- Ronald Lee & Timothy Miller, 2001. "Evaluating the performance of the lee-carter method for forecasting mortality," Demography, Springer, vol. 38(4), pages 537-549, November.
- Piet De Jong & Leonie Tickle, 2006. "Extending Lee-Carter Mortality Forecasting," Mathematical Population Studies, Taylor & Francis Journals, vol. 13(1), pages 1-18.
When requesting a correction, please mention this item's handle: RePEc:dem:demres:v:15:y:2006:i:9. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Editorial Office)
If references are entirely missing, you can add them using this form.