Modelling residuals dependence in dynamic life tables: A geostatistical approach

A. Debon, F. Montes, J. Mateu, E. Porcu and M. Bevilacqua

Computational Statistics & Data Analysis, 2008, vol. 52, issue 6, 3128-3147

Abstract: The problem of modelling dynamic mortality tables is considered. In this context, the influence of age on data graduation needs to be properly assessed through a dynamic model, as mortality progresses over the years. After detrending the raw data, the residuals dependence structure is analysed, by considering them as a realisation of a homogeneous Gaussian random field defined on . This setting allows for the implementation of geostatistical techniques for the estimation of the dependence and further interpolation in the domain of interest. In particular, a complex form of interaction between age and time is considered, by taking into account a zonally anisotropic component embedded into a nonseparable covariance structure. The estimated structure is then used for prediction of mortality rates, and goodness-of-fit testing is performed through some cross-validation techniques. Comments on validity and interpretation of the results are given.

Date: 2008
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