Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions

Heather Booth, Rob Hyndman (), Leonie Tickle and Piet de Jong

No 13/06, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: We compare the short- to medium-term accuracy of five variants or extensions of the Lee-Carter method for mortality forecasting. These include the original Lee-Carter, the Lee-Miller and Booth-Maindonald-Smith variants, and the more flexible Hyndman-Ullah and De Jong-Tickle extensions. These methods are compared by applying them to sex-specific populations of 10 developed countries using data for 1986-2000 for evaluation. All variants and extensions are more accurate than the original Lee-Carter method for forecasting log death rates, by up to 61%. However, accuracy in log death rates does not necessarily translate into accuracy in life expectancy. There are no significant differences among the five methods in forecast accuracy for life expectancy.

Keywords: Functional data; Lee-Carter method; mortality forecasting; nonparametric smoothing; principal components; state space. (search for similar items in EconPapers)
JEL-codes: J11 C53 C14 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-for and nep-hea
Date: 2006-05
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Journal Article: Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions (2006)
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