Demographic Research (2006), 15(9), 289-310.
Heather Booth1, Rob J. Hyndman2, Leonie Tickle3 and Piet De Jong3
- Demography and Sociology Program, Australian National University, Canberra ACT 0200, Australia.
- Department of Econometrics and Business Statistics, Monash University, VIC 3800, Australia.
- Department of Actuarial Studies, Macquarie University, NSW 2109, Australia.
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.
Keywords: Functional data, Lee-Carter method, mortality forecasting, nonparametric smoothing, principal components, state space.