Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077063 | Insurance: Mathematics and Economics | 2009 | 16 Pages |
Abstract
An enhanced version of the Lee-Carter modelling approach to mortality forecasting, which has been extended to include an age modulated cohort index in addition to the standard age modulated period index, is described and tested for prediction robustness. Life expectancy and annuity value predictions, at pensioner ages and for various periods are compared, both with and without the age modulated cohort index, for the England & Wales male mortality experience. The simulation of prediction intervals for these indices of interest is discussed in detail.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Steven Haberman, Arthur Renshaw,