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Mortality, longevity and experiments with the Lee-Carter model
Steven Haberman1, Arthur Renshaw
1Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, UK. S.Haberman@city.ac.uk
Abstract:
The paper reviews the Lee-Carter modelling framework, illustrated with an application, and then extends the framework through the development of a wider class of generalised, parametric, non-linear models. The choice of error distribution is also generalised. These extensions permit the modelling and extrapolation of age-specific cohort effects as well as the more familiar age-specific period effects: the age-period-cohort version of the model is discussed with a worked example. The paper also provides a comparative study of simulation strategies for assessing risk in mortality rate predictions and the associated forecast estimates of life expectancy and annuity values in both period and cohort perspectives.
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