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Asymptotic Inference in the Lee-Carter Model for Modelling Mortality Rates

Reese, Simon LU (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.
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author
organization
publishing date
type
Working Paper
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 Universtiy
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
2015-05-26 16:02:23
date last changed
2016-04-16 10:27:56
@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},
  keyword      = {Lee-Carter model,mortality,common factor models,panel data},
  language     = {eng},
  note         = {Working Paper},
  number       = {16},
  pages        = {29},
  publisher    = {Department of Economics, Lund Universtiy},
  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},
  year         = {2015},
}