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

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<dc:creator>Pitt, David</dc:creator>
<dc:creator>Li, Jackie</dc:creator>
<dc:creator>Lim, Tian Kang</dc:creator>
<dc:date>2018-05-01</dc:date>
<dc:description xml:lang="es">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 purposes</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/165223.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Proyecciones</dc:subject>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Modelos GLM</dc:subject>
<dc:subject xml:lang="es">Modelos lineales generalizados</dc:subject>
<dc:subject xml:lang="es">Modelo estocástico</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Australia</dc:subject>
<dc:subject xml:lang="es">Canadá</dc:subject>
<dc:subject xml:lang="es">Noruega</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Smoothing poisson common factor model for projecting mortality jointly for both sexes</dc:title>
<dc:relation xml:lang="es">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. 509-541</dc:relation>
<dc:coverage xml:lang="es">Australia</dc:coverage>
<dc:coverage xml:lang="es">Canadá</dc:coverage>
<dc:coverage xml:lang="es">Noruega</dc:coverage>
</rdf:Description>
</rdf:RDF>