 A more meaningful parameterization of the Lee–Carter modelPiet de Jong, Leonie Tickle and Jianhui Xu Insurance: Mathematics and Economics, 2020, vol. 94, issue C, 1-8 Abstract: A new Lee–Carter model parameterization is introduced with two advantages. First, the Lee–Carter parameters are normalized such that they have a direct and intuitive interpretation, comparable across populations. Second, the model is stated in terms of the “needed-exposure” (NE). The NE is the number required in order to get one expected death and is closely related to the “needed-to-treat” measure used to communicate risks and benefits of medical treatments. In the new parameterization, time parameters are directly interpretable as an overall across-age NE. Age parameters are interpretable as age-specific elasticities: percentage changes in the NE at a particular age in response to a percent change in the overall NE. A similar approach can be used to confer interpretability on parameters of other mortality models. Keywords: Mortality; Lee–Carter; Needed-exposure; Age–response; Age-specific elasticities (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:94:y:2020:i:c:p:1-8 DOI: 10.1016/j.insmatheco.2020.05.009 Access Statistics for this article Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu More articles in Insurance: Mathematics and Economics from Elsevier |
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