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Accepted version

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2020-08

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/170244

The Lee-Carter quantile mortality model

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https://doi.org/10.1080/03461238.2019.1707109

Abstract

The Lee-Carter (LC) stochastic mortality model has been widely used for making future projections of mortality rates. In the framework of the LC model, the response function is non-linear in parameters. Here, we adapt this LC framework to compute conditional quantiles. The LC quantile model can be defined as quantile non-linear regression conditioned to age and the calendar year. Two strategies for estimating coefficients based on interior-point methods are described. We show that the LC quantile model provides additional information to that furnished by the traditional LC conditional mean. An application to Spanish mortality data is reported.

Subject

Mortalitat, Programació lineal, Longevitat, Anàlisi de regressió

Subject (English)

Mortality, Linear programming, Longevity, Regression analysis

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Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Citation

SANTOLINO, Miguel. The Lee-Carter quantile mortality model. Scandinavian Actuarial Journal. 2020. Vol. 2020, num. 7, pags. 614-633. ISSN 0346-1238. [consulted: 8 of August of 2026]. Available at: https://hdl.handle.net/2445/170244

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