Estimating the term structure of mortality
In modeling and forecasting mortality the Lee-Carter approach is the benchmark methodology. In many empirical applications the Lee-Carter approach results in a model that describes the log central death rates by means of linear trends. However, due to the volatility in (past) mortality data, the estimation of these trends, and, thus, the forecasts based on them, might be rather sensitive to the sample period employed. We allow for time-varying trends, depending on a few underlying factors, to make the estimates of the future trends less sensitive to the sampling period. We formulate our model in a state-space framework, and use the Kalman filtering technique to estimate it. We illustrate our model using Dutch mortality data.
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.:
- 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.
- Renshaw, A.E. & Haberman, S. & Hatzopoulos, P., 1996. "The Modelling of Recent Mortality Trends in United Kingdom Male Assured Lives," British Actuarial Journal, Cambridge University Press, vol. 2(02), pages 449-477, June.
- Durbin, James & Koopman, Siem Jan, 2012.
"Time Series Analysis by State Space Methods,"
Oxford University Press,
edition 2, number 9780199641178, April.
- Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543, April.
- Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Carter, Lawrence R. & Lee, Ronald D., 1992. "Modeling and forecasting US sex differentials in mortality," International Journal of Forecasting, Elsevier, vol. 8(3), pages 393-411, November.
- 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. Full references (including those not matched with items on IDEAS)