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A Parameterized approach to modeling and forecasting mortality

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      <subfield code="a">Hatzopoulos, P.</subfield>
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      <subfield code="a">A Parameterized approach to modeling and forecasting mortality</subfield>
      <subfield code="c">P. Hatzopoulos, S. Haberman</subfield>
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      <subfield code="a">A new method is proposed of constructing mortality forecasts. This parameterized approach utilizes Generalized Linear Models (GLMs), based on heteroscedastic Poisson (non-additive) error structures, and using an orthonormal polynomial design matrix. Principal Component (PC) analysis is then applied to the cross-sectional fitted parameters. The produced model can be viewed either as a one-factor parameterized model where the time series are the fitted parameters, or as a principal component model, namely a log-bilinear hierarchical statistical association model of Goodman [Goodman, L.A., 1991. Measures, models, and graphical displays in the analysis of cross-classified data. J. Amer. Statist. Assoc. 86(416), 10851111] or equivalently as a generalized LeeCarter model with p interaction terms. Mortality forecasts are obtained by applying dynamic linear regression models to the PCs. Two applications are presented: Sweden (17512006) and Greece (19572006).Article O</subfield>
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      <subfield code="0">MAPA20080555306</subfield>
      <subfield code="a">Mortalidad</subfield>
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      <subfield code="a">Estadística matemática</subfield>
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      <subfield code="0">MAPA20080580377</subfield>
      <subfield code="a">Esperanza de vida</subfield>
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      <subfield code="0">MAPA20080579258</subfield>
      <subfield code="a">Cálculo actuarial</subfield>
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      <subfield code="0">MAPA20090035973</subfield>
      <subfield code="a">Haberman, S.</subfield>
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      <subfield code="w">MAP20077100574</subfield>
      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">27/02/2009 Tomo 44 Número 1  - 2009, p. 103-123</subfield>
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