On the forecasting of mortality reduction factors

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 mortali...

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Bibliographic Details
Published in:Insurance, mathematics & economics mathematics & economics, 2003-07, Vol.32 (3), p.379-401
Main Authors: Renshaw, A.E., Haberman, S.
Format: Article
Language:English
Subjects:
Aged
Economic behaviour
Economics
Forecasting
Forecasts
Life expectancy
Life insurance
Life tables
Males
Mathematical models
Mortality
Mortality reduction factors
Regression analysis
Studies
Time series
United Kingdom
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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.
ISSN:0167-6687
1873-5959
DOI:10.1016/S0167-6687(03)00118-5