Investigating Mortality Uncertainty Using the Block Bootstrap

Xiaoming Liu and W. John Braun

Journal of Probability and Statistics, 2010, vol. 2010, 1-15

Abstract:

This paper proposes a block bootstrap method for measuring mortality risk under the Lee-Carter model framework. In order to take account of all sources of risk (the process risk, the parameter risk, and the model risk) properly, a block bootstrap is needed to cope with the spatial dependence found in the residuals. As a result, the prediction intervals we obtain for life expectancy are more accurate than the ones obtained from other similar methods.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:813583

DOI: 10.1155/2010/813583

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