Closing and projecting life tables using log-linear models. (English. French, German summary) Zbl 1333.62251

Denuit, Michel; Goderniaux, Anne-Cécile

Mitt., Schweiz. Aktuarver. 2005, No. 1, 29-49 (2005).

Summary: This paper proposes a simple and powerful method for generating projected life tables in a dynamic mortality environment. Yearly death probabilities are first extended to old ages, using a constrained log-linear regression model involving age and its squared value. Assuming a further continuation of the stable pace of mortality decline, a linear version of the classical Lee-Carter model is then applied to the forecasting of the gender- and age-specific mortality rates applying to the Belgian population.

MSC:

62P05	Applications of statistics to actuarial sciences and financial mathematics
62M10	Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B30	Risk theory, insurance (MSC2010)
91D20	Mathematical geography and demography