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A Parameterized approach to modeling and forecasting mortality

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<title>Parameterized approach to modeling and forecasting mortality</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090035973">
<namePart>Haberman, S.</namePart>
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<dateIssued encoding="marc">2009</dateIssued>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">P. Hatzopoulos, S. Haberman</note>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555306">
<topic>Mortalidad</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090033023">
<topic>Estadística matemática</topic>
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<topic>Bootstrap</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080580377">
<topic>Esperanza de vida</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
<part>
<text>27/02/2009 Tomo 44 Número 1  - 2009, p. 103-123</text>
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