Multidimensional Lee-Carter model with switching mortality processes

► This paper studies the general features of multifactor Lee-Carter models, with switching regime time components. ► A particular attention is granted to changes of measure for this type of model and their influence on prices of life and death insurances. ► Analytical expressions of moments of mortality rates are provided. ► The calibration procedure is detailed and applied to fit a 2 dimensions, 2 states model to the French population. ► A comparison with existing models reveals that this kind of models introduces an age specific enhancement of mortality rates.