SMOOTHING POISSON COMMON FACTOR MODEL FOR PROJECTING MORTALITY JOINTLY FOR BOTH SEXES

Content Provider	Scilit
Author	Pitt, David Li, Jackie Lim, Tian Kang
Copyright Year	2018
Description	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.
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/8FF5FF75B751D83A16412D80F85D00B2/S0515036117000447a.pdf/div-class-title-smoothing-poisson-common-factor-model-for-projecting-mortality-jointly-for-both-sexes-div.pdf
Ending Page	541
Page Count	33
Starting Page	509
ISSN	05150361
e-ISSN	17831350
DOI	10.1017/asb.2017.44
Journal	ASTIN Bulletin
Issue Number	02
Volume Number	48
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2018-05-01
Access Restriction	Open
Subject Keyword	ASTIN Bulletin Mathematical Social Sciences Generalised Linear Models Poisson Common Factor Model Joint Modelling of Both Sexes
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics