The mortality of the Italian population: Smoothing techniques on the Lee--Carter model

Details The mortality of the Italian population: Smoothing techniques on the Lee--Carter model The mortality of the Italian population: Smoothing techniques on the Lee--Carter model

2011-08-03

arxiv.org/abs/1108.0766v1

Annals of Applied Statistics 2011, Vol. 5, No. 2A, 705-724

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Published in at http://dx.doi.org/10.1214/10-AOAS394 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Ins

Scientific paper

10.1214/10-AOAS394

Several approaches have been developed for forecasting mortality using the stochastic model. In particular, the Lee-Carter model has become widely used and there have been various extensions and modifications proposed to attain a broader interpretation and to capture the main features of the dynamics of the mortality intensity. Hyndman-Ullah show a particular version of the Lee-Carter methodology, the so-called Functional Demographic Model, which is one of the most accurate approaches as regards some mortality data, particularly for longer forecast horizons where the benefit of a damped trend forecast is greater. The paper objective is properly to single out the most suitable model between the basic Lee-Carter and the Functional Demographic Model to the Italian mortality data. A comparative assessment is made and the empirical results are presented using a range of graphical analyses.

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