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The Lee-Carter quantile mortality model [PDF]

Scandinavian Actuarial Journal, 2020
The Lee-Carter (LC) stochastic mortality model has been widely used for making future projections of mortality rates. In the framework of the LC model, the response function is non-linear in parameters. Here, we adapt this LC framework to compute conditional quantiles.
MIGUEL Santolino
exaly   +3 more sources

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Extending Lee–Carter Mortality Forecasting

Mathematical Population Studies, 2006
ABSTRACT The Lee–Carter method for mortality forecasting is outlined, discussed and improved utilizing standard time series approaches. The new framework, which integrates estimation and forecasting, delivers more robust results and permits more detailed insight into underlying mortality dynamics.
Piet De Jong, Leonie Tickle
exaly   +2 more sources

Mortality, longevity and experiments with the Lee–Carter model

Lifetime Data Analysis, 2008
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
Haberman, Steven, Renshaw, Arthur
openaire   +3 more sources

Robustness and convergence in the Lee–Carter model with cohort effects

Insurance: Mathematics and Economics, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Andrew Hunt, Andres M Villegas
exaly   +3 more sources

Lee–Carter mortality forecasting with age-specific enhancement

Insurance: Mathematics and Economics, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
A E Renshaw
exaly   +3 more sources

Inference for the Lee-Carter Model With An AR(2) Process

Methodology and Computing in Applied Probability, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Deyuan Li, Liang Peng
exaly   +3 more sources

Lee-Carter Goes Risk-Neutral

SSRN Electronic Journal, 2006
We consider a class of stochastic intensities of mortality that generalizes the model proposed by Lee and Carter (1992), allowing general diffusions to drive the mortality time-trend. We analyze the stability of such class of intensities under measure changes and show how a risk-neutral version of the generalized Lee-Carter model can be employed for ...
Enrico Biffis, Michel Denuit
openaire   +1 more source

Fuzzy formulation of the Lee–Carter model for mortality forecasting

Insurance: Mathematics and Economics, 2006
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Arnold F Shapiro
exaly   +3 more sources