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

 

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.

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Cite

@article{LCcomparison,
  author  = {Heather Booth and Rob J Hyndman and Leonie Tickle and Piet {de Jong}},
  journal = {Demographic Research},
  number  = {9},
  pages   = {289--310},
  title   = {{Lee-Carter} mortality forecasting: a multi-country comparison of variants and extensions},
  volume  = {15},
  year    = 2006
}