On age-period-cohort parametric mortality rate projections

被引:64
作者
Haberman, Steven [1 ]
Renshaw, Arthur [1 ]
机构
[1] City Univ London, Cass Business Sch, London EC1Y 8TZ, England
关键词
Mortality forecasting; Age-period-cohort effects; Forecast statistics; Back-fitting; Data truncation; STOCHASTIC MORTALITY; MODEL;
D O I
10.1016/j.insmatheco.2009.07.006
中图分类号
F [经济];
学科分类号
02 ;
摘要
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. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码:255 / 270
页数:16
相关论文
共 15 条
[1]  
CAIRNS AJG, 2008, PI0801 CASS BUS SCH
[2]   A QUANTITATIVE COMPARISON OF STOCHASTIC MORTALITY MODELS USING DATA FROM ENGLAND AND WALES AND THE UNITED STATES [J].
Cairns, Andrew ;
Blake, David ;
Dowd, Kevin ;
Coughlan, Guy ;
Epstein, David ;
Ong, Alen ;
Balevich, Igor .
NORTH AMERICAN ACTUARIAL JOURNAL, 2009, 13 (01) :1-35
[3]   A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration [J].
Cairns, Andrew J. G. ;
Blake, David ;
Dowd, Kevin .
JOURNAL OF RISK AND INSURANCE, 2006, 73 (04) :687-718
[4]  
Coale AJ., 1990, ASIAN PAC POPUL FORU, V4, P1
[5]  
DELWARDE A, 2007, STAT MODEL, V7, P385
[6]  
Denuit M., 2005, Bulletin de l'Association Suisse des Actuaries, Volume, V1, P29
[7]  
DENUIT M, 2009, ASTIN B IN PRESS
[8]   Distribution of the random future life expectancies in log-bilinear mortality projection models [J].
Denuit, Michel .
LIFETIME DATA ANALYSIS, 2007, 13 (03) :381-397
[9]  
Hamilton J.D., 1994, Times Series Analysis
[10]   The choice among past trends as a basis for the predicition of future trends in old-age mortality [J].
Janssen, Fanny ;
Kunst, Anton .
POPULATION STUDIES-A JOURNAL OF DEMOGRAPHY, 2007, 61 (03) :315-326