On age-period-cohort parametric mortality rate projections

An enhanced version of the Lee-Carter modelling approach to mortality forecasting, which has been extended to include an age modulated cohort index in addition to the standard age modulated period index, is described and tested for prediction robustness. Life expectancy and annuity value predictions, at pensioner ages and for various periods are compared, both with and without the age modulated cohort index, for the England & Wales male mortality experience. The simulation of prediction intervals for these indices of interest is discussed in detail.

[1]  David Blake,et al.  A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States , 2009 .

[2]  Steven Haberman,et al.  A cohort-based extension to the Lee-Carter model for mortality reduction factors , 2006 .

[3]  Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap , 2010, ASTIN Bulletin.

[4]  Ronald Lee.  The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications , 2000 .

[5]  Steven Haberman,et al.  Lee–Carter mortality forecasting with age-specific enhancement , 2003 .

[6]  Michel Denuit,et al.  Closing and projecting lifetables using log-linear models , 2005 .

[7]  Kevin Dowd,et al.  A Two-Factor Model for Stochastic Mortality With Parameter Uncertainty: Theory and Calibration , 2006 .

[8]  Distribution of the random future life expectancies in log-bilinear mortality projection models , 2007, Lifetime data analysis.

[9]  Steven Haberman,et al.  On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling , 2008 .

[10]  A. Kunst,et al.  The choice among past trends as a basis for the prediction of future trends in old-age mortality , 2007, Population studies.

[11]  M. Denuit,et al.  Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting , 2007 .

[12]  David Blake,et al.  Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models , 2008 .