Cohort Effect Structure in the Lee-Carter Residual Term

Naoki Sunamoto, Japan

The Lee-Carter Method is one of the most popular methodologies for forecasting mortality rate. However, if a cohort effect exists, the forecasted results will become less accurate, since this method smooths out such effect. This paper identifies the cohort effect structure in the Lee-Carter residual term and extrapolates it in such forecasting
Date: 1 June - Time: 16:15 to 17:45 - Room: 341
Theme: 9.A. Various topics