Lee-Carter Cohort Mortality Forecasts

Ugofilippo Basellini , Max Planck Institute for demographic Research
Carlo Giovanni G. Camarda, Institut National d'Études Démographiques (INED)

Mortality forecasting has recently stimulated great interest in academics and financial sector practitioners due to the increasing challenges posed by continuous longevity improvements. Many efforts have been directed to model and forecast mortality from the conventional age-period perspective. Conversely, models to forecast cohort mortality are scarce in the demographic and actuarial literature. In this article, we fill this gap by adapting the seminal model of Lee and Carter (1992) and its most successful extensions to the structure of cohort mortality data, which is characterized by missing data corresponding to periods beyond the last available year of data collection. Our approach allows us to derive a complete age-cohort mortality surface simply by estimating the model's parameters, thereby completing the mortality experience of non-extinct cohorts. We apply our methodology to Swedish female cohort mortality data at ages 0-100 for the cohorts 1900-1987 obtained from the Human Mortality Database.

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 Presented in Session 31. Mortality Predictions