On age-period-cohort parametric mortality rate projections

被引：62
|
作者：
Haberman, Steven [1 ]
Renshaw, Arthur [1 ]
机构：
[1] City Univ London, Cass Business Sch, London EC1Y 8TZ, England
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2009年 / 45卷 / 02期
关键词：
Mortality forecasting; Age-period-cohort effects; Forecast statistics; Back-fitting; Data truncation; STOCHASTIC MORTALITY; MODEL;
D O I：
10.1016/j.insmatheco.2009.07.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：255 / 270
页数：16
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