Evaluating and extending the Lee–Carter model for mortality forecasting: Bootstrap confidence interval

This paper first studies the performance of the Lee–Carter [J. Am. Stat. Assoc. 419 (87) (1992) 659–675] model for mortality forecasting on the Nordic countries. Three approaches for computing the model parameters are compared: Singular Value Decomposition, Weighted Least Square and Maximum Likelihood Estimation. Hypothetical projections are also made, based on variable period intervals. Secondly, the paper addresses an extension to the Lee–Carter method: a residual bootstrapped technique is used to construct confidence intervals for forecasted life expectancies. Uncertainties produced with this method incorporate the variability from all parameters in the model, while the original Lee–Carter method focuses on the variability in the time-varying parameter.