Lee-Carter mortality forecasting with age-specific enhancement.

*(English)*Zbl 1103.91371Summary: We investigate the feasibility of constructing mortality forecasts on the basis of the first two sets of single value decomposition vectors, rather than just on the first such set of vectors, as in the established Lee-Carter (Gaussian) approach to mortality forecasting. Three applications are presented and the resulting forecasts compared with those constructed using two similar approaches based on generalised linear and bilinear models with Poisson error structures.

##### MSC:

91D20 | Mathematical geography and demography |

62M20 | Inference from stochastic processes and prediction |

62P05 | Applications of statistics to actuarial sciences and financial mathematics |

91B84 | Economic time series analysis |

PDF
BibTeX
XML
Cite

\textit{A. E. Renshaw} and \textit{S. Haberman}, Insur. Math. Econ. 33, No. 2, 255--272 (2003; Zbl 1103.91371)

Full Text:
DOI

##### References:

[1] | Alho, J.M., Discussion of Lee, North American actuarial journal (with discussion), 4, 1, 80-93, (2000) |

[2] | Benjamin, B., Pollard, J.H., 1993. The Analysis of Mortality and other Actuarial Statistics. Institute and Faculty of Actuaries, Oxford. |

[3] | Booth, H., Maindonald, J., Smith, L., 2001. Age – time interactions in mortality projection: applying Lee-Carter to Australia. Working Papers in Demography No. 85. Research School of Social Sciences, Australian National University. |

[4] | Brouhns, N.; Denuit, M.; Vermunt, J.K., A Poisson log-bilinear regression approach to the construction of projected life-tables, Insurance: mathematics and economics, 31, 373-393, (2002) · Zbl 1074.62524 |

[5] | CMI Committee, 1999. Standard tables of mortality based on the 1991-1994 experiences. Continuous Mortality Investigation Report, vol. 17. Institute and Faculty of Actuaries, pp. 1-227. |

[6] | Daykin, C.D., The recent trend of mortality in the united kingdom, British actuarial journal, 6, 861-871, (2000) |

[7] | Forfar, D.O.; McCutcheon, J.J.; Wilkie, A.D., On graduation by mathematical formula, Journal of institute of actuaries, 115, 1-135, (1988) |

[8] | Goodman, L.A., Simple models for the analysis of association in cross-classifications having ordered categories, Journal of American statistical association, 74, 537-552, (1979) |

[9] | Hamilton, J.D., 1994. Time Series Analysis. Princeton University Press, Princeton, NJ. · Zbl 0831.62061 |

[10] | Lee, R.D., The lee – carter method of forecasting mortality, with various extensions and applications, North American actuarial journal (with discussion), 4, 1, 80-93, (2000) · Zbl 1083.62535 |

[11] | Registrar General, 1997. English Life Tables No. 15. Office of National Statistics, Series DS No. 14, HMSO, London. |

[12] | Renshaw, A.E., Actuarial graduation practice and generalised linear and non-linear models, Journal of the institute of actuaries, 118, 295-312, (1991) |

[13] | Renshaw, A.E.; Haberman, S., Lee – carter mortality forecasting, a parallel GLM approach, england and wales mortality projections, Applied statistics, 52, 137-199, (2003) · Zbl 1111.62359 |

[14] | Renshaw, A.E., Haberman, S., in press. On the forecasting of mortality reduction factors. Insurance: Mathematics and Economics. · Zbl 1025.62041 |

[15] | Tuljapurkar, S.; Li, N.; Boe, C., A universal pattern of mortality decline in the G7 countries, Nature, 405, 789-792, (2000) |

[16] | Wilmoth, J.R., Demography of longevity: past, present and future trends, Experimental gerontology, 35, 1111-1129, (2000) |

This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.