The Lee-Carter Model for Forecasting Mortality, Revisited

References

• Abraham , Bovas and Alice , Chuang . 1989 . Outlier Detection and Time Series Modelling . Technometrics , 31 : 241 – 248 .
   Web of Science ®Google Scholar
• Akaike , Hirotugu . 1974 . A New Look at the Statistical Model Identification . IEEE Transactions on Automatic Control , AC-19 : 716 – 723 .
   Web of Science ®Google Scholar
• American Battle Monuments Commission . 2006 . The American Battle Monuments Commission Database . www.abmc.gov/search/koreanwar.php. Accessed May 27, 2005
   Google Scholar
• Balke , Nathan S. and Fomby , Thomas N. 1994 . Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time-Series . Journal of Applied Econometrics , 9 : 181 – 200 .
   Web of Science ®Google Scholar
• Booth , Heather and Tickle , Leonie . 2003 . “ The Future Aged: New Projections of Australia’s Elderly Population ” . Sydney, Australia : Macquarie University . Department of Actuarial Studies Research Paper Series
   Google Scholar
• Bourbeau , Robert and Desjardins , Bertrand . 2002 . Dealing with Problems in Data Quality for the Measurement of Mortality at Advanced Ages in Canada . North American Actuarial Journal , 6 ( 3 ) : 1 – 13 .
   Google Scholar
• Bowers , Newton L. Jr. , Gerber , Hans U. , Hickman , James C. , Jones , Donald A. and Nesbitt , Cecil J. 1997 . Actuarial Mathematics , 2nd ed , Schaumburg, IL : Society of Actuaries .
   Google Scholar
• Box , George and Jenkins , Gwilym M. 1976 . Time Series Analysis Forecasting and Control , 2nd ed , San Francisco : Holden-Day .
   Google Scholar
• Brose , Gerald J. 1997 . Numerical Methods with MATLAB: A Resource for Scientists and Engineers , Boston : PWS Publishing .
   Google Scholar
• Brouhns , Natacha , Denuit , Michel and Vermunt , Jeroen K. 2002 . A Poisson Log-Bilinear Regression Approach to the Construction of Projected Lifetables . Insurance: Mathematics and Economics , 31 : 373 – 393 .
   Web of Science ®Google Scholar
• Buettner , Thomas . 2002 . Approaches and Experiences in Projecting Mortality Patterns for the Oldest-Old . North American Actuarial Journal , 6 ( 3 ) : 14 – 29 .
   Google Scholar
• Carter , Lawrence R. and Lee , Ronald D. 1992 . Modelling and Forecasting U.S. Sex Differentials in Mortality . International Journal of Forecasting , 8 : 393 – 411 .
   PubMed Web of Science ®Google Scholar
• Chan , Wai-Sum . 1995 . Outliers and Financial Time Series Modelling: A Cautionary Note . Mathematics and Computers in Simulation , 39 : 425 – 430 .
   Web of Science ®Google Scholar
• Chan , Wai-Sum . 1998 . Outlier Analysis of Annual Retain Price Inflation: A Cross-Country Study . Journal of Actuarial Practice , 6 : 149 – 172 .
   Google Scholar
• Chan , Wai-Sum . 2002 . Stochastic Investment Modelling: A Multiple Time-Series Approach . British Actuarial Journal , 8 : 545 – 591 .
   Google Scholar
• Chan , Wai-Sum and Wang , Shaun . 1998 . The Wilkie Model for Retail Price Inflation Revisited . British Actuarial Journal , 4 : 637 – 652 .
   Google Scholar
• Chang , Ih , Tiao , George C. and Chen , Chung . 1988 . Estimation of Time Series Parameters in the Presence of Outliers . Technometrics , 30 : 190 – 204 .
   Web of Science ®Google Scholar
• Chatfield , Chris . 1993 . Calculating Interval Forecasts . Journal of Business and Economic Statistics , 11 : 121 – 135 .
   Web of Science ®Google Scholar
• Chen , Chung and Liu , Lon-Mu . 1993 . Joint Estimation of Model Parameters and Outlier Effects in Time Series . Journal of the American Statistical Association , 88 : 284 – 297 .
   Web of Science ®Google Scholar
• Chen , Chung and Tiao , George C. 1990 . Random Level Shift Time Series Models, ARIMA Approximation, and Level Shift Detection . Journal of Business and Economic Statistics , 8 : 170 – 186 .
   Web of Science ®Google Scholar
• Chia , Ngee C. and Tsui , Albert K. C. 2003 . Life Annuities and Compulsory Savings and Income Adequacy of the Elderly in Singapore . Journal of Pension Economics and Finance , 2 : 41 – 65 .
   Google Scholar
• Coale , Ansley and Uang Guo , G. 1989 . Revised Regional Model Life Tables at Very Low Mortality . Population Index , 55 : 613 – 643 .
   PubMedGoogle Scholar
• Crosby , Alfred W. 2003 . America’s Forgotten Pandemic: The Influenza of 1918 , 2nd ed , Cambridge : Cambridge University Press .
   Google Scholar
• Davison , Anthony C. and Smith , Richard L. 1990 . Models for Exceedances over High Thresholds (with discussion) . Journal of the Royal Statistical Society Series B , 52 : 393 – 442 .
   Google Scholar
• Fishman , Morris . 2002 . Searching for Omega . The Actuary , 36 ( 5 ) : 2
   Google Scholar
• Fox , Anthony J. 1972 . Outliers in Time Series . Journal of the Royal Statistical Society Series B , 34 : 350 – 363 .
   Google Scholar
• Gerontology Research Group . 2005 . Validated Living Supercentenarians . as of May 6, 2005. www.grg.org. Accessed May 6, 2005
   Google Scholar
• Han , Zhongxian . 2005 . Living to 100 and Beyond: An Extreme Value Study . Living to 100 and Beyond Symposium Monograph , www.soa.org/ccm/content/research-publications/library-publications/monographs/life-monographs/livingto-100-and-beyond-monograph/
   Google Scholar
• Hillmer , Steven . 1984 . Monitoring and Adjusting Forecasts in the Presence of Additive Outliers . Journal of Forecasting , 3 : 205 – 215 .
   Web of Science ®Google Scholar
• Himes , Christine L. , Preston , Samuel H. and Condran , Gretchen A. 1994 . A Relational Model of Mortality at Older Ages in Low Mortality Countries . Population Studies , 48 : 269 – 291 .
   Web of Science ®Google Scholar
• Holmes , Edward C. 2004 . Enhanced: 1918 and All That . Science , 303 : 1787 – 1788 .
   PubMed Web of Science ®Google Scholar
• Human Mortality Database . 2005 . University of California, Berkeley (U.S.), and Max Planck Institute for Demographic Research (Germany) . www.mortality.org or www. humanmortality.de. Accessed March 15, 2005
   Google Scholar
• IMSL . 1997 . IMSL Math/Library: Fortran Subroutines for Mathematical Applications. Volume 1 , Houston : Vision Numerics .
   Google Scholar
• Johansen , Robert J. 2002 . Advancing the Horizon for Centenarian Survival Studies . North American Actuarial Journal , 6 ( 3 ) Guest Editorial
   Google Scholar
• Ledford , Anthony W. and Robinson , Michael E. 1999 . Discussion of A. R. Thatcher, The Long-Term Pattern of Adult Mortality and the Highest Attained Age . Journal of the Royal Statistical Society Series A , 162 : 39
   Web of Science ®Google Scholar
• Ledolter , Johannes . 1989 . The Effect of Additive Outliers on the Forecasts from ARIMA Models . International Journal of Forecasting , 5 : 231 – 240 .
   Web of Science ®Google Scholar
• Lee , Ronald D. and Carter , Lawrence R. 1992 . Modelling and Forecasting U.S. Mortality . Journal of the American Statistical Association , 87 : 659 – 671 .
   Web of Science ®Google Scholar
• Li , Siu-Hang and Chan , Wai-Sum . 2005 . Outlier Analysis and Mortality Forecasting: The United Kingdom and Scandinavian Countries . Scandinavian Actuarial Journal , 3 : 187 – 211 .
   Google Scholar
• Liu , Lon-Mu and Hudak , Gregory B. 1994 . Forecasting and Time Series Analysis Using the SCA Statistical System , Chicago : Scientific Computing Associates .
   Google Scholar
• Ljung , Greta M. 1993 . On Outlier Detection in Time Series . Journal of the Royal Statistical Society Series B , 55 : 559 – 567 .
   Google Scholar
• Ljung , Greta M. and Box , George E. P. 1978 . On a Measure of Lack of Fit in Time Series Models . Biometrika , 65 : 287 – 303 .
   Web of Science ®Google Scholar
• Muirhead , Colin R. 1986 . Distinguishing Outlier Types in Time Series . Journal of the Royal Statistical Society Series B , 48 : 39 – 47 .
   Google Scholar
• National Center For Health Statistics . 2004a . HIST290 Death Rates for Selected Causes by 10-Year Age Groups, Race, and Sex: Death Registration States, 1900–32, and United States, 1933–98 . www.cdc.gov/nchs/datawh/statab/unpubd/mortabs/hist290.htm. Accessed January 25, 2004
   Google Scholar
• National Center For Health Statistics . 2004b . GMWK23R Death Rates by 10-Year Age Groups: United States and Each State, 1999–2001 . www.cdc.gov/nchs/datawh/statab/unpubd/mortabs.htm. Accessed January 25, 2004
   Google Scholar
• Ord , Keith and Lowe , Sam . 1996 . Automatic Forecasting . American Statistician , 50 : 88 – 94 .
   Web of Science ®Google Scholar
• Panjer , Harry H. 2003 . SARS And Actuarial Modeling . The Actuary , 37 ( 6 ) : 27
   Google Scholar
• Payne , R. W. , Lane , P. E. , Digby , P. G. N. , Harding , S. A. , Leech , P. K. , Morgan , G. W. , Todd , A. D. , Thompson , R. , Tunnicliffe Wilson , G. , Welham , S. J. and White , R. P. 1993 . Genstat 5 Release 3 Reference Manual , Oxford : Clarendon Press .
   Google Scholar
• Pickands , James . 1975 . Statistical Inference Using Extreme Order Statistics . Annals of Statistics , 3 : 119 – 131 .
   Web of Science ®Google Scholar
• Pollard , John, H. 1988 . On the Derivation of a Full Life Table from Mortality Data Recorded in Five-Year Age Groups . Mathematical Population Studies , 2 : 1 – 44 .
   Google Scholar
• Renshaw , Arthur E. and Haberman , Steven . 2003 . On the Forecasting of Mortality Reduction Factors . Insurance: Mathematics and Economics , 32 : 379 – 401 .
   Web of Science ®Google Scholar
• Robertson , Kathryn A. , Dupuis , Debbie J. and Jones , Bruce L. 2005 . Living to 100 and Beyond: An Extreme Value Study . Living to 100 and Beyond Symposium Monograph , www.soa.org/ccm/content/research-publications/library-publications/monographs/life-monographs/living-to-100-and-beyond-monograph/
   Google Scholar
• Robine , Jean-Marie and Vaupel , James W. 2002 . Emergence of Supercentenarians in Low-Mortality Countries . North American Actuarial Journal , 6 ( 3 ) : 54 – 63 .
   Google Scholar
• Rowley , Mark C. and Bishop , Peter C. 2001 . Impact of Terrorism on Future Mortality Assumptions . Record of the Society of Actuaries , : 28
   Google Scholar
• Sarony , Neville , Chan , Wai-Sum and Wai-Hon Chan , Felix . 2003 . Personal Injury Tables Hong Kong: Tables for the Calculation of Damages , Hong Kong : Sweet and Maxwell Asia .
   Google Scholar
• Sas Institute . 2004 . What’s New in SAS/ETS 9? . http://support.sas.com/software/91x/etsugwhatsnew900.htm Accessed August 4, 2004
   Google Scholar
• Smith , Richard L. 1999 . Discussion of A. R. Thatcher, The Long-Term Pattern of Adult Mortality and the Highest Attained Age . Journal of the Royal Statistical Society Series A , 162 : 37
   Web of Science ®Google Scholar
• Thatcher , Roger A. 1999 . The Long-Term Pattern of Adult Mortality and the Highest Attained Age. (with discussion) . Journal of the Royal Statistical Society Series A , 162 : 5 – 43 .
   PubMed Web of Science ®Google Scholar
• Thomas , Guy , Genevieve , Plu and Thalabard , Jean-Christophe . 1992 . Identification of Pulses in Hormone Time Series Using Outlier Detection Methods . Statistics in Medicine , 11 : 2133 – 2145 .
   PubMed Web of Science ®Google Scholar
• Tong , Howell . 1983 . Threshold Models in Non-Linear Times Series Analysis , Berlin : Springer .
   Google Scholar
• Tsay , Ruey. S. 1986 . Time Series Model Specification in the Presence of Outliers . Journal of American Statistical Association , 81 : 132 – 141 .
   Web of Science ®Google Scholar
• Tsay , Ruey. S. 1988 . Outliers, Level Shifts and Variance Changes in Time Series . Journal of Forecasting , 7 : 1 – 20 .
   Web of Science ®Google Scholar
• Tucker , Spencer . 2005 . The Encyclopedia of World War I: A Political, Social, and Military History , Santa Barbara, CA : ABC-CLIO .
   Google Scholar
• Tuljapurkar , Shripad , Li , Nan and Carl , Boe . 2000 . A Universal Pattern of Mortality Decline in the G7 Countries . Nature , 405 : 789 – 792 .
   PubMed Web of Science ®Google Scholar
• United Nations . 1997 . “ Projecting Old-Age Mortality and Its Consequences ” . New York : United Nations . Report on the working group, December 3–5, 1996
   Google Scholar
• U.S. Census Bureau . 2004 . Monthly Population Estimates, 1990–2000 . www.census.gov/popest/archives/1990s/nat_detail.html Accessed January 25, 2004
   Google Scholar
• Vaage , Kjell . 2000 . Detection of Outliers and Level Shifts in Time Series: An Evaluation of Two Alternative Procedures . Journal of Forecasting , 19 : 23 – 37 .
   Web of Science ®Google Scholar
• Wei , William W. S. 1990 . Time Series Analysis: Univariate and Multivariate Methods , Redwood City, CA : Addison-Wesley .
   Google Scholar
• Wilmoth , John R. 1993 . “ Computational Methods for Fitting and Extrapolating the Lee-Carter Model of Mortality Change ” . Berkeley : University of California . Technical report. Department of Demography
   Google Scholar
• Wolak , Daniel , Knapp , Darrell , Meintel , Charles H. and Trapp , Kevin J. 2003 . Pricing for Terrorism Risk in Group Life, Group Health and Group Disability Products . Record of the Society of Actuaries , 29 : 1 – 30 .
   Google Scholar