Copyright © 2010 Xiaoming Liu and W. John Braun. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

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.