Related papers: Lee-Carter method for forecasting mortality for Pe…
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality…
The EU Solvency II directive recommends insurance companies to pay more attention to the risk management methods. The sense of risk management is the ability to quantify risk and apply methods that reduce uncertainty. In life insurance, the…
The aim of this paper is to study the construction of prospective mortality tables from a low number of persons subjected to risk. The presented models are the Lee-Carter and log-Poisson methods respectively. The low number of people…
Several approaches have been developed for forecasting mortality using the stochastic model. In particular, the Lee-Carter model has become widely used and there have been various extensions and modifications proposed to attain a broader…
Undoubtedly, several countries worldwide endure to experience a continuous increase in life expectancy, extending the challenges of life actuaries and demographers in forecasting mortality. Although several stochastic mortality models have…
The well-known Lee-Carter model uses a bilinear form $\log(m_{x,t})=a_x+b_xk_t$ to represent the log mortality rate and has been widely researched and developed over the past thirty years. However, there has been little attention being paid…
We propose a probabilistic mortality forecasting model that can be applied to derive forecasts for populations with regular and irregular mortality developments. Our model (1) uses rates of mortality improvement to model dynamic age…
The predominant way of modelling mortality rates is the Lee-Carter model and its many extensions. The Lee-Carter model and its many extensions use a latent process to forecast. These models are estimated using a two-step procedure that…
A new stochastic method for describing mortality is proposed and explored. It is based on differences of observed times series of the transform $\log(-\log x)$ of survival probabilities which seem to follow simple patterns over the years.…
In many countries life expectancy gains have been substantially higher than predicted by even recent forecasts. This is primarily due to increasing rates of improvement in old-age mortality not captured by existing models. In this paper we…
This paper introduces a neural network approach for fitting the Lee-Carter and the Poisson Lee-Carter model on multiple populations. We develop some neural networks that replicate the structure of the individual LC models and allow their…
This paper extends the Lee-Carter model for single- and multi-populations to account for pandemic jump effects of vanishing kind, allowing for a more comprehensive and accurate representation of mortality rates during a pandemic,…
Mortality forecasting methods in the Lee-Carter tradition extrapolate temporal components via time-series models, often producing forecasts that systematically underpredict life expectancy at long horizons. This bias is consequential for…
The current outbreak of COVID-19 has called renewed attention to the need for sound statistical analysis for monitoring mortality patterns and trends over time. Excess mortality has been suggested as the most appropriate indicator to…
In this paper we explore the life expectancy limits by based on the stochastic modeling of mortality and applying the first exit or hitting time theory of a stochastic process. The main assumption is that the health state or the "vitality",…
A linear mixed-effects (LME) model is proposed for modelling and forecasting single and multi-population age-specific death rates (ASDRs). The innovative approach that we take in this study treats age, the interaction between gender and…
Accurate forecasts of weekly mortality are essential for public health and the insurance industry. We develop a forecasting framework that extends the Lee-Carter model with age- and region-specific seasonal effects and penalized distributed…
The Lee Carter modelling framework is widely used because of its simplicity and robustness despite its inability to model specific cohort effects. A large number of extensions have been proposed that model cohort effects but there is no…
This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a…
Many existing mortality models follow the framework of classical factor models, such as the Lee-Carter model and its variants. Latent common factors in factor models are defined as time-related mortality indices (such as $\kappa_t$ in the…