Future Life-Tables Based on the Lee-Carter Methodology and their Application to Calculating the Pension Annuities

• Authors: Rossa, Agnieszka

Abstracts

EN

In the paper a new recursive approach to the mortality forecasting is proposed based on the well-known Lee-Carter stochastic model. The standard Lee- -Carter method and its modified version are presented and compared using mortality data for Poland in the time period 1990-2007. The results obtained indicate that the recursive approach gives more accurate forecasts in terms of the mean squared error. Stochastic forecasts of age-specific death rates are also used to predict death prob- abilities and life expectancy being the main parameters of the life-tables. As an example, future life-tables for 2020 are calculated. Applications of Lee-Carter methodology in pension annuity calculations are presented.

Keywords

EN

mortality forecasting; Lee-Carter model; future life-tables; pension annuity

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Acta Universitatis Lodziensis. Folia Oeconomica
• Year: 2011
• Volume: 250

Dates

published

2011

Contributors

author

Rossa, Agnieszka

other

Uniwersytet Łódzki; Wydział Ekonomiczno-Socjologiczny; Instytut Statystyki i Demografii

Identifiers

URI

http://hdl.handle.net/11089/605