From: Robin Hanson (rhanson@gmu.edu)
Date: Tue Apr 11 2000 - 06:55:17 MDT
Ron H. wrote:
> > Ronald Lee (2000) "The Lee-Carter Method for Forecasting Mortality,
> > with Various Extensions and Applications" North
> > American Actuarial Journal v.4, n.1 (January) pp.80-93. >>
>
>Here is a link I found: <A HREF="http://www.soa.org/pubs/naaj.html">North
>American Actuarial Journal</A>
>http://www.soa.org/pubs/naaj.html
>Is this of any use.
It at least gives the abstract, at http://www.soa.org/pubs/naaj00_01.html
The Lee-Carter Method for Forecasting Mortality, with
Various Extensions and Applications
Ronald Lee*
In 1992, Lee and Carter published a new method for long-run forecasts of the
level and age pattern of mortality, based on a combination of statistical
time series methods and a simple approach to dealing with the age
distribution of mortality. The method describes the log of a time series of
age-specific death rates as the sum of an age-specific component that is
independent of time and another component that is the product of a
time-varying parameter reflecting the general level of mortality, times an
age-specific component that represents how rapidly or slowly mortality at
each age varies when the general level of mortality changes. This model is
fit to historical data. The resulting estimate of the time-varying parameter
is then modeled and forecast as a stochastic time series using standard
methods. From this forecast of the general level of mortality, the actual
age-specific rates are derived using the estimated age effects. The
forecasts of the various life table functions have probability
distributions, so probability intervals can be calculated for each variable
and for summary measures such as life expectancy. The projected gain in life
expectancy from 1989 to 1997 matches the actual gain very closely and is
nearly twice the gain projected by the Social Security Administration's
Office of the Actuary. This paper describes the basic Lee-Carter method and
discusses the forecasts to which it has led. It then discusses extensions,
applications, and methodological improvements that have been made in recent
years; considers shortcomings of the method; and briefly describes how it
has been used as a component of more general stochastic population
projections and stochastic forecasts of the finances of the U.S. Social
Security system.
Robin Hanson rhanson@gmu.edu http://hanson.gmu.edu
Asst. Prof. Economics, George Mason University
MSN 1D3, Carow Hall, Fairfax VA 22030
703-993-2326 FAX: 703-993-2323
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