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Model effect on projected mortality indicators

  • A. Debòn
  • S. Haberman
  • F. Montes
  • E. Otranto

    ()

The parametric model introduced by Lee and Carter in 1992 for projecting mortality rates in the US has been a seminal development and has been widely used since then. Different versions of the model, incorporating constraints on the data, and different adjustment methods have led to improvement. All of these changes have increased the complexity of the model with a corresponding improvement in goodness of fit, however, there is little change in the accuracy of forecasts of life expectancy in comparison with the original Lee-Carter model, according to some authors. To evaluate to what point the increments in the complexity and computational cost of the models are reflected in the forecast of such indices as life expectancy and modal age at death, among others, we have compared three different models - the original Lee-Carter with one parameter and the Lee-Carter model with two temporal parameters forecasted by means of two independent time series or by means of a bivariate one. The three sets of predictions so obtained are compared using a mixture of block-bootstrap techniques and functional data analysis.

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Paper provided by Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia in its series Working Paper CRENoS with number 201215.

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Date of creation: 2012
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Handle: RePEc:cns:cnscwp:201215
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  1. J. Cuesta-Albertos & M. Febrero-Bande, 2010. "A simple multiway ANOVA for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 19(3), pages 537-557, November.
  2. Martínez-Camblor, Pablo & Corral, Norberto, 2011. "Repeated measures analysis for functional data," Computational Statistics & Data Analysis, Elsevier, vol. 55(12), pages 3244-3256, December.
  3. Cuevas, Antonio & Febrero, Manuel & Fraiman, Ricardo, 2004. "An anova test for functional data," Computational Statistics & Data Analysis, Elsevier, vol. 47(1), pages 111-122, August.
  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.
  5. 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.
  6. ., 1998. "Rent," Chapters, in: The Elgar Companion to Classical Economics, chapter 127 Edward Elgar.
  7. Debón, A. & Montes, F. & Puig, F., 2008. "Modelling and forecasting mortality in Spain," European Journal of Operational Research, Elsevier, vol. 189(3), pages 624-637, September.
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