Modeling trends in cohort survival probabilities

P. Hatzopoulos and S. Haberman

Insurance: Mathematics and Economics, 2015, vol. 64, issue C, 162-179

Abstract: A new dynamic parametric model is proposed for analyzing the cohort survival function. A one-factor parameterized polynomial in age effects, complementary log–log link and multinomial cohort responses are utilized, within the generalized linear models (GLM) framework. Sparse Principal component analysis (SPCA) is then applied to cohort dependent parameter estimates and provides (marginal) estimates for a two-factor structure. Modeling the two-factor residuals in a similar way, in age–time effects, provides estimates for the three-factor age–cohort–period model. An application is presented for Sweden, Norway, England & Wales and Denmark mortality experience.

Keywords: Cohort mortality; Multinomial responses; Generalized linear models; Mortality forecasting; Sparse Principal component analysis; Dynamic Linear Regression (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:64:y:2015:i:c:p:162-179

DOI: 10.1016/j.insmatheco.2015.05.009

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