Estimating the term structure of mortality

Norbert Hári, Anja De Waegenaere (), Bertrand Melenberg () and Theo Nijman

Insurance: Mathematics and Economics, 2008, vol. 42, issue 2, 492-504

Abstract: In modeling and forecasting mortality the Lee-Carter approach is the benchmark methodology. In many empirical applications the Lee-Carter approach results in a model that describes the log central death rates by means of linear trends. However, due to the volatility in (past) mortality data, the estimation of these trends, and, thus, the forecasts based on them, might be rather sensitive to the sample period employed. We allow for time-varying trends, depending on a few underlying factors, to make the estimates of the future trends less sensitive to the sampling period. We formulate our model in a state-space framework, and use the Kalman filtering technique to estimate it. We illustrate our model using Dutch mortality data.

Date: 2008
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Citations: View citations in EconPapers (16)

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