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Operations Management and Econometrics

Extensions of the Lee-Carter model for mortality projections

Professor Udi Makov, University of Haifa, Israel

24th Sep 2010  11:00 am - Room 498, Merewether Building (H04)

The literature on mortality projections was dominated in the 1990's by the Lee-Carter model which assumes that the central death rate for a specific age follows a log-bilinear form, allowing for variations in the level of mortality over time. This model, with its inherent homoscedastic structure, was later extended by a Poisson model governed by a similar log-bilinear force of mortality. The paper will discuss potential extensions to the Lee-Carter model along the following lines:

  • Presentation of the L-C model as a state-space model.
  • Bayesian Implementation of the L-C model with a broad family of imbedded ARIMA models.
  • Bayesian model choice considerations.
  • Adaptation of the L-C model for simultaneous projection of several populations.