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Lee Carter mortality forecasting: application to the Italian population

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


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.

Publication Type: Monograph (Working Paper)
Publisher Keywords: Lee-Carter methodology, mortality forecasting, time series, life expectancy
Subjects: H Social Sciences > HG Finance
Departments: Business School > Actuarial Science & Insurance > Actuarial Research Reports
Date Deposited: 23 Apr 2013 10:59
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