Lee Carter mortality forecasting: application to the Italian population

Haberman, S. & Russolillo, M. (2005). Lee Carter mortality forecasting: application to the Italian population (Report No. Actuarial Research Paper No. 167). London, UK: Faculty of Actuarial Science & Insurance, City University London.

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Abstract

In this paper we investigate the feasibility of using the Lee-Carter methodology to construct mortality forecasts for the Italian population. We fit the model to the matrix of Italian death rates for each gender from 1950 to 2000. A time-varying index of mortality is forecasted in an ARIMA framework and is used to generate projected life tables. In particular we focus on life expectancies at birth and, for the purpose of comparison, we introduce an alternative approach for forecasting life expectancies on a period basis. The resulting forecasts generated by the two methods are then compared.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: Lee-Carter methodology, mortality forecasting, time series, life expectancy
Subjects: H Social Sciences > HG Finance
Divisions: Cass Business School > Faculty of Actuarial Science & Insurance > Faculty of Actuarial Science & Insurance Actuarial Research Reports
URI: http://openaccess.city.ac.uk/id/eprint/2299

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