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2011 | 250 Demographic Future of Poland | 31--50
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Future Life-Tables Based on the Lee-Carter Methodology and their Application to Calculating the Pension Annuities

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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 probabilities 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. (original abstract)
  • University of Lodz, Poland
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