A cohort-based extension to the Lee–Carter model for mortality reduction factors

A cohort-based extension to the Lee–Carter model for mortality reduction factors

The Lee–Carter modelling framework is extended through the introduction of a wider class of generalised, parametric, non-linear models. This permits the modelling and extrapolation of age-specific cohort effects as well as the more familiar age-specific period effects. The choice of error distributi...

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Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 2006-06, Vol.38 (3), p.556-570
Hauptverfasser: Renshaw, A.E., Haberman, S.
Format: Artikel
Sprache:eng
Schlagworte:
Cohort effects
Generalised non-linear models
Life insurance
Mortality
Mortality projections
Mortality reduction factors
Nonlinear equations
Studies
Time series
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Beschreibung
Zusammenfassung:The Lee–Carter modelling framework is extended through the introduction of a wider class of generalised, parametric, non-linear models. This permits the modelling and extrapolation of age-specific cohort effects as well as the more familiar age-specific period effects. The choice of error distribution is generalised.
ISSN:0167-6687
1873-5959
DOI:10.1016/j.insmatheco.2005.12.001