Investigating Mortality Uncertainty Using the Block Bootstrap

Abstract EN

This paper proposes a block bootstrap method for measuring mortality risk under the Lee-Carter model framework.

In order to take account of all sources of risk (the process risk, the parameter risk, and the model risk) properly, a block bootstrap is needed to cope with the spatial dependence found in the residuals.

As a result, the prediction intervals we obtain for life expectancy are more accurate than the ones obtained from other similar methods.