On age-period-cohort parametric mortality rate projections. (English) Zbl 1231.91195

Haberman, Steven; Renshaw, Arthur

Insur. Math. Econ. 45, No. 2, 255-270 (2009).

Summary: 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.

MSC:

91B30	Risk theory, insurance (MSC2010)
91B82	Statistical methods; economic indices and measures

Keywords:

mortality forecasting; age-period-cohort effects; forecast statistics; back-fitting; data truncation

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