Centro de Documentación de Fundación MAPFRE - Smoothing poisson common factor model for projecting mortality jointly for both sexes

Notes: Sumario: We consider a modification to the Poisson common factor model and utilise a generalised linear model (GLM) framework that incorporates a smoothing process and a set of linear constraints. We extend the standard GLM model structure to adopt Lagrange methods and P-splines such that smoothing and constraints are applied simultaneously as the parameters are estimated. Our results on Australian, Canadian and Norwegian data show that this modification results in an improvement in mortality projection in terms of producing more accurate forecasts in the out-of-sample testing. At the same time, projected male-to-female ratio of death rates at each age converges to a constant and the residuals of the models are sufficiently random, indicating that the use of smoothing does not adversely affect the fit of the model. Further, the irregular patterns in the estimates of the age-specific parameters are moderated as a result of smoothing and this model can be used to produce more regular projected life tables for pricing purposesRelated records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2018 Volumen 48 Número 2 - mayo 2018 , p. 509-541Materia / lugar / evento: Proyecciones Mortalidad Modelos GLM Modelos lineales generalizados Modelo estocástico Cálculo actuarial Australia Canadá Noruega Otros autores: Li, Jackie
Lim, Tian Kang
Other categories: 6

Rights: In Copyright (InC)

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