Skip to main content
Article thumbnail
Location of Repository

Uncertainty in mortality forecasting: an extension to the classic Lee–Carter approach

By Siu-hang Li, Mary R. Hardy and Ken Seng Tan


Traditionally, actuaries have modeled mortality improvement using deterministic reduction factors, with little consideration of the associated uncertainty. As mortality improvement has become an increasingly significant source of financial risk, it has become important to measure the uncertainty in the forecasts. Probabilistic confidence intervals provided by the widely accepted Lee-Carter model are known to be excessively narrow, due primarily to the rigid structure of the model. In this paper, we relax the model structure by incorporating heterogeneity in each age-period cell. The proposed extension not only provides a better goodness-of-fit based on standard model selection criteria, but also ensures more conservative interval forecasts of central death rates and hence can better reflect the uncertainty in the forecasts. We illustrate the results using Canadian population mortality data

Topics: Confidence interval, Heterogeneity, Negative-binomial distribution, Maximum likelihood
Year: 2009
OAI identifier: oai:CiteSeerX.psu:
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • (external link)
  • http://www.watrisq.uwaterloo.c... (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.