MAP20150002365Saeed Ahmadi, SeyedCoherent mortality forecasting with generalized linear models : A modified time-transformation approach / Seyed Saeed Ahmadi, Johnny Siu-Hang LiSumario: In this paper, we propose an alternative approach for forecasting mortality for multiple populations jointly. Our contribution is developed upon the generalized linear models introduced by Renshaw et al., (1996) and Sithole et al., (2000), in which mortality forecasts are generated within the model structure, without the need of additional stochastic processes. To ensure that the resulting forecasts are coherent, a modified time-transformation is developed to stipulate the expected mortality differential between two populations to remain constant when the long-run equilibrium is attained. The model is then further extended to incorporate a structural change, an important property that is observed in the historical mortality data of many national populations. The proposed modeling methods are illustrated with data from two different pairs of populations: (1) Swedish and Danish males; (2) English and Welsh males and U.K. male insured livesEn: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 03/11/2014 Volumen 59 Número 1 - noviembre 2014 I. Title.
