Smoothing and forecasting mortality rates
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- 1 December 2004
- journal article
- Published by SAGE Publications in Statistical Modelling
- Vol. 4 (4), 279-298
- https://doi.org/10.1191/1471082x04st080oa
Abstract
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.Keywords
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