Han Lin Shang, Rob J Hyndman and Heather Booth
Abstract:
Using the age– and sex-specific data of 14 developed countries, we compare the short– to medium-term accuracy of ten principal component methods for forecasting mortality rates andlife expectancy. These ten methods include the Lee-Carter method and many of its variants and extensions. For forecasting mortality rates, the weighted Hyndman-Ullah method provides the most accurate point forecasts, while the Lee-Miller method gives the best point forecast accuracy of life expectancy. Furthermore, the weighted Hyndman-Ullah method provides the most accurate interval forecasts of mortality rates, while the robust Hyndman-Ullah method provides the best interval forecast accuracy of life expectancy.
Keywords: mortality forecasting, life expectancy forecasting, principal component methods, Lee-Carter method, interval forecasts, forecasting time series.
