• Title of article

    A parameterized approach to modeling and forecasting mortality

  • Author/Authors

    Hatzopoulos، نويسنده , , P. and Haberman، نويسنده , , S.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2009
  • Pages
    21
  • From page
    103
  • To page
    123
  • Abstract
    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), 1085–1111] or equivalently as a generalized Lee–Carter model with p interaction terms. Mortality forecasts are obtained by applying dynamic linear regression models to the PCs. Two applications are presented: Sweden (1751–2006) and Greece (1957–2006).
  • Keywords
    Bootstrap confidence intervals , Mortality forecasting , Generalized Linear Models , Principal component analysis , Dynamic linear regression
  • Journal title
    Insurance Mathematics and Economics
  • Serial Year
    2009
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1543698