FIVE DIFFERENT DISTRIBUTIONS FOR THE LEE–CARTER MODEL OF MORTALITY FORECASTING: A COMPARISON USING GAS MODELS

Author : César Neves, Cristiano Fernandes, Henrique Hoeltgebaum


FIVE DIFFERENT DISTRIBUTIONS FOR THE LEE–CARTER MODEL OF MORTALITY FORECASTING: A COMPARISON USING GAS MODELS

This paper extends the well-known Lee–Carter model used for forecasting mortality rates by utilizing a new class of time series models, known as Generalized Autoregressive Score (GAS) or Dynamic Conditional Score (DCS) models. This paper proposes five probability models (Poisson, binomial, negative binomial, Gaussian and beta) based on the GAS framework to estimate the Lee–Carter parameters and dynamically forecast the mortality rates using a single unified step.