A cohort-based extension to the Lee-Carter model for mortality reduction factors. (English) Zbl 1168.91418

Renshaw, A. E.; Haberman, S.

Insur. Math. Econ. 38, No. 3, 556-570 (2006).

Summary: The Lee-Carter modelling framework is extended through the introduction of a wider class of generalized, parametric, nonlinear models. This permits the modelling and extrapolation of age-specific cohort effects as well as the more familiar age-specific period effects. The choice of error distribution is generalized.

MSC:

91B30	Risk theory, insurance (MSC2010)
62P05	Applications of statistics to actuarial sciences and financial mathematics

Keywords:

cohort effects; mortality reduction factors; generalized nonlinear models; time series; mortality projections

Software:

GLIM

References:

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