Closing and projecting life tables using log-linear models. (English. French, German summary) Zbl 1333.62251

Summary: This paper proposes a simple and powerful method for generating projected life tables in a dynamic mortality environment. Yearly death probabilities are first extended to old ages, using a constrained log-linear regression model involving age and its squared value. Assuming a further continuation of the stable pace of mortality decline, a linear version of the classical Lee-Carter model is then applied to the forecasting of the gender- and age-specific mortality rates applying to the Belgian population.


62P05 Applications of statistics to actuarial sciences and financial mathematics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B30 Risk theory, insurance (MSC2010)
91D20 Mathematical geography and demography
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