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Tandy Xu Seminar

Past Seminar from the archive

  • Topic: Lee-Carter Mortality Forecasting with Time-varying Age Effects
  • Speaker: Tandy Xu, PhD candidate, Department of Applied Finance and Actuarial Studies, Macquarie University
  • Was held: 27th April, 2011, (Wed)
This paper develops a method to repeatedly fit the Lee-Carter (LC) model over moving periods, therefore it is called Moving Period Lee-Carter (MLC). The basic LC method uses a fixed fitting period, and estimates age factors as constant over this period. By estimating different sets of age factors over varying periods, MLC is able to capture trends in age effects that are known to occur, and to allow for these to produce more accurate forecasts. This paper uses the MLC method to forecast mortality rates allowing for time-varying age effects, and compares forecast accuracy of MLC and other LC-based methods using standardized residuals between estimated and actual values. Results show that average errors over the whole age range are lower for MLC.


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