Future Life-Tables Based on the Lee-Carter Methodology and their Application to Calculating the Pension Annuities
Streszczenie
In the paper a new recursive approach to the mortality forecasting is
proposed based on the well-known Lee-Carter stochastic model. The standard Lee-
-Carter method and its modified version are presented and compared using mortality data
for Poland in the time period 1990-2007. The results obtained indicate that the recursive
approach gives more accurate forecasts in terms of the mean squared error.
Stochastic forecasts of age-specific death rates are also used to predict death prob-
abilities and life expectancy being the main parameters of the life-tables. As an example,
future life-tables for 2020 are calculated. Applications of Lee-Carter methodology in
pension annuity calculations are presented.
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