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Smoothing poisson common factor model for projecting mortality jointly for both sexes

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20180022517
003  MAP
005  20180717154925.0
008  180712e20180501bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20080031732‎$a‎Pitt, David
24510‎$a‎Smoothing poisson common factor model for projecting mortality jointly for both sexes‎$c‎David Pitt, Jackie Li, Tian Kang Lim
520  ‎$a‎We 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 purposes
650 4‎$0‎MAPA20130014791‎$a‎Proyecciones
650 4‎$0‎MAPA20080555306‎$a‎Mortalidad
650 4‎$0‎MAPA20160001693‎$a‎Modelos GLM
650 4‎$0‎MAPA20160001679‎$a‎Modelos lineales generalizados
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
651 1‎$0‎MAPA20080638146‎$a‎Australia
651 1‎$0‎MAPA20080637712‎$a‎Canadá
651 1‎$0‎MAPA20080637941‎$a‎Noruega
7001 ‎$0‎MAPA20120024595‎$a‎Li, Jackie
7001 ‎$0‎MAPA20180010538‎$a‎Lim, Tian Kang
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/05/2018 Volumen 48 Número 2 - mayo 2018 , p. 509-541