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Frailty-based Lee–Carter family of stochastic mortality models

Carannante, M., D’Amato, V., Haberman, S. ORCID: 0000-0003-2269-9759 & Menzietti, M. (2023). Frailty-based Lee–Carter family of stochastic mortality models. Quality and Quantity, doi: 10.1007/s11135-023-01786-6


In the actuarial literature, frailty is defined to be the unobserved variable which encompasses all the factors affecting human mortality other than gender and age. Heterogeneity in individual frailty can play a significant role in population mortality dynamics. In the present paper, we identify the main latent factors that explain the frailty component, in order to clarify its role in mortality projections. We show, using longitudinal survey data, that frailty is mainly due to co-morbidities that impact on the process of deterioration in terms of the human body’s physiological capacity. Accordingly, we provide frailty-based stochastic models for projecting mortality based on the Lee–Carter family of models. We propose several versions that consider frailty both as an age-dependent and a time-dependent factor and also combining the interaction effects of age and time in comparison with the general level of mortality, and compare the resulting mortality projections using data from England.

Publication Type: Article
Additional Information: This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit
Publisher Keywords: Frailty, Mortality modelling, Mortality heterogeneity, Lee–Carter family model, Random forest
Subjects: G Geography. Anthropology. Recreation > GF Human ecology. Anthropogeography
H Social Sciences > HF Commerce
Departments: Bayes Business School > Actuarial Science & Insurance
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