Lee-Carter mortality forecasting with age-specific enhancement

被引：252

作者：

Renshaw, AE ^{[1
]}

Haberman, S ^{[1
]}

机构：

[1] City Univ London, Sir John Cass Business Sch, Fac Actuarial Sci & Stat, London EC1Y 8TZ, England

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2003年 / 33卷 / 02期

关键词：

mortality forecasting; enhanced lee-carter methodology; poisson response methodologies;

D O I：

10.1016/S0167-6687(03)00138-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the feasibility of constructing mortality forecasts on the basis of the first two sets of single value decomposition vectors, rather than just on the first such set of vectors, as in the established Lee-Carter (Gaussian) approach to mortality forecasting. Three applications are presented and the resulting forecasts compared with those constructed using two similar approaches based on generalised linear and bilinear models with Poisson error structures. (C) 2003 Elsevier Science B.V. All rights reserved.

引用

页码：255 / 272

页数：18

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