Lee-Carter mortality forecasting: A multi-country comparison of variants and extensions

Heather Booth; Rob J. Hyndman; Leonie Tickle; Piet de Jong

Lee-Carter mortality forecasting: A multi-country comparison of variants and extensions

Heather Booth^*, Rob J. Hyndman, Leonie Tickle, Piet de Jong

^*Corresponding author for this work

Department of Actuarial Studies and Business Analytics

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Abstract

We compare the short- to medium-term accuracy of five variants or extensions of the Lee-Carter method for mortality forecasting. These include the original Lee-Carter, the Lee-Miller and Booth-Maindonald-Smith variants, and the more flexible Hyndman-Ullah and De Jong-Tickle extensions. These methods are compared by applying them to sex-specific populations of 10 developed countries using data for 1986-2000 for evaluation. All variants and extensions are more accurate than the original Lee-Carter method for forecasting log death rates, by up to 61%. However, accuracy in log death rates does not necessarily translate into accuracy in life expectancy. There are no significant differences among the five methods in forecast accuracy for life expectancy.

Original language	English
Article number	9
Pages (from-to)	1-25
Number of pages	25
Journal	Demographic Research
Volume	15
Publication status	Published - 20 Oct 2006

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Copyright 2006 Booth et al. This open-access work is published under the terms of the Creative Commons Attribution NonCommercial License 2.0 Germany, which permits use, reproduction & distribution in any medium for non-commercial purposes, provided the original author(s) and source are given credit. See http://creativecommons.org/licenses/by-nc/2.0/de/

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abstract = "We compare the short- to medium-term accuracy of five variants or extensions of the Lee-Carter method for mortality forecasting. These include the original Lee-Carter, the Lee-Miller and Booth-Maindonald-Smith variants, and the more flexible Hyndman-Ullah and De Jong-Tickle extensions. These methods are compared by applying them to sex-specific populations of 10 developed countries using data for 1986-2000 for evaluation. All variants and extensions are more accurate than the original Lee-Carter method for forecasting log death rates, by up to 61%. However, accuracy in log death rates does not necessarily translate into accuracy in life expectancy. There are no significant differences among the five methods in forecast accuracy for life expectancy.",

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Lee-Carter mortality forecasting: A multi-country comparison of variants and extensions

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