Smoothing and forecasting mortality rates

被引:242
作者
Currie, ID [1 ]
Durban, M
Eilers, PHC
机构
[1] Heriot Watt Univ, Dept Actuarial Math & Stat, Edinburgh EH14 4AS, Midlothian, Scotland
[2] Univ Carlos III Madrid, Dept Estadist & Econometria, Madrid, Spain
[3] Leiden Univ, Med Ctr, Dept Med Stat, Leiden, Netherlands
关键词
forecasting; mortality; overdispersion; P-splines; two dimensions;
D O I
10.1191/1471082X04st080oa
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
The prediction of future mortality rates is a problem of fundamental importance for the insurance and pensions industry. We show how the method of P-splines can be extended to the smoothing and forecasting of two-dimensional mortality tables. We use a penalized generalized linear model with Poisson errors and show how to construct regression and penalty matrices appropriate for two-dimensional modelling. An important feature of our method is that forecasting is a natural consequence of the smoothing process. We illustrate our methods with two data sets provided by the Continuous Mortality Investigation Bureau, a central body for the collection and processing of UK insurance and pensions data.
引用
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页码:279 / 298
页数:20
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