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Ron H. wrote:

*> > Ronald Lee (2000) "The Lee-Carter Method for Forecasting Mortality,
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*> > with Various Extensions and Applications" North
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*> > American Actuarial Journal v.4, n.1 (January) pp.80-93. >>
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*>
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*>Here is a link I found: <A HREF="http://www.soa.org/pubs/naaj.html">North
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*>American Actuarial Journal</A>
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*>http://www.soa.org/pubs/naaj.html
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*>Is this of any use.
*

It at least gives the abstract, at http://www.soa.org/pubs/naaj00_01.html

The Lee-Carter Method for Forecasting Mortality, with

Various Extensions and Applications

Ronald Lee*

In 1992, Lee and Carter published a new method for long-run forecasts of the

level and age pattern of mortality, based on a combination of statistical

time series methods and a simple approach to dealing with the age

distribution of mortality. The method describes the log of a time series of

age-specific death rates as the sum of an age-specific component that is

independent of time and another component that is the product of a

time-varying parameter reflecting the general level of mortality, times an

age-specific component that represents how rapidly or slowly mortality at

each age varies when the general level of mortality changes. This model is

fit to historical data. The resulting estimate of the time-varying parameter

is then modeled and forecast as a stochastic time series using standard

methods. From this forecast of the general level of mortality, the actual

age-specific rates are derived using the estimated age effects. The

forecasts of the various life table functions have probability

distributions, so probability intervals can be calculated for each variable

and for summary measures such as life expectancy. The projected gain in life

expectancy from 1989 to 1997 matches the actual gain very closely and is

nearly twice the gain projected by the Social Security Administration's

Office of the Actuary. This paper describes the basic Lee-Carter method and

discusses the forecasts to which it has led. It then discusses extensions,

applications, and methodological improvements that have been made in recent

years; considers shortcomings of the method; and briefly describes how it

has been used as a component of more general stochastic population

projections and stochastic forecasts of the finances of the U.S. Social

Security system.

Robin Hanson rhanson@gmu.edu http://hanson.gmu.edu

Asst. Prof. Economics, George Mason University

MSN 1D3, Carow Hall, Fairfax VA 22030

703-993-2326 FAX: 703-993-2323

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