Journal
INSURANCE MATHEMATICS & ECONOMICS
Volume 38, Issue 3, Pages 556-570Publisher
ELSEVIER
DOI: 10.1016/j.insmatheco.2005.12.001
Keywords
cohort effects; mortality reduction factors; generalised non-linear models; time series; mortality projections
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The Lee-Carter modelling framework is extended through the introduction of a wider class of generalised, parametric, non-linear models. This permits the modelling and extrapolation of age-specific cohort effects as well as the more familiar age-specific period effects. The choice of error distribution is generalised. (c) 2005 Elsevier B.V. All rights reserved.
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