Asymptotic Inference in the Lee-Carter Model for Modelling Mortality Rates
(2015) In Working Paper / Department of Economics, School of Economics and Management, Lund University- Abstract
- The most popular approach to modelling and forecasting mortality rates is the model of Lee and Carter (Modeling and Forecasting U. S. Mortality, Journal of the American Statistical Association, 87, 659–671, 1992). The popularity of the model rests mainly on its good fit to the data, its theoretical properties being obscure. The present paper provides asymptotic results for the Lee-Carter model and illustrates its inherent weaknesses formally. Requirements on the underlying data are established and variance estimators are presented in order to allow hypothesis testing and the computation of confidence intervals.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/5433534
- author
- Reese, Simon LU
- organization
- publishing date
- 2015
- type
- Working paper/Preprint
- publication status
- published
- subject
- keywords
- Lee-Carter model, mortality, common factor models, panel data
- in
- Working Paper / Department of Economics, School of Economics and Management, Lund University
- issue
- 16
- pages
- 29 pages
- publisher
- Department of Economics, Lund University
- language
- English
- LU publication?
- yes
- id
- e36488ec-1569-408d-9115-907e52f687ab (old id 5433534)
- alternative location
- http://swopec.hhs.se/lunewp/abs/lunewp2015_016.htm
- date added to LUP
- 2016-04-04 12:21:33
- date last changed
- 2018-11-21 21:10:29
@misc{e36488ec-1569-408d-9115-907e52f687ab, abstract = {{The most popular approach to modelling and forecasting mortality rates is the model of Lee and Carter (Modeling and Forecasting U. S. Mortality, Journal of the American Statistical Association, 87, 659–671, 1992). The popularity of the model rests mainly on its good fit to the data, its theoretical properties being obscure. The present paper provides asymptotic results for the Lee-Carter model and illustrates its inherent weaknesses formally. Requirements on the underlying data are established and variance estimators are presented in order to allow hypothesis testing and the computation of confidence intervals.}}, author = {{Reese, Simon}}, keywords = {{Lee-Carter model; mortality; common factor models; panel data}}, language = {{eng}}, note = {{Working Paper}}, number = {{16}}, publisher = {{Department of Economics, Lund University}}, series = {{Working Paper / Department of Economics, School of Economics and Management, Lund University}}, title = {{Asymptotic Inference in the Lee-Carter Model for Modelling Mortality Rates}}, url = {{http://swopec.hhs.se/lunewp/abs/lunewp2015_016.htm}}, year = {{2015}}, }