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On the forecasting of mortality reduction factors. (English) Zbl 1025.62041

Summary: Ways in which the so-called Lee-Carter time series approach to forecasting mortality patterns can be modified to forecast the possible future behaviour of mortality reduction factors (RFs) are described. A comparison is drawn with an alternative regression type approach to the forecasting of mortality RFs, based on the same model structure. Case studies, illustrating different aspects of the methodology, making use of both the more recent mortality experience of UK male pensioner lives and the historical mortality experience of UK male annuitants, are presented.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62M20 Inference from stochastic processes and prediction
91D20 Mathematical geography and demography

Software:

GenStat
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References:

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