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.

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