Semi-parametric accelerated hazard relational models with applications to mortality projections

Meitner Cadena and Michel Denuit

Insurance: Mathematics and Economics, 2016, vol. 68, issue C, 1-16

Abstract: In this paper, we propose new relational models linking some specific mortality experience to a reference life table. Compared to existing relational models which distort the forces of mortality, we work here on the age scale. Precisely, age is distorted making individuals younger or older before performing the computations with the reference life table. This is in line with standard actuarial practice, specifically with the so-called Rueff’s adjustments. It is shown that the statistical inference can be conducted with the help of a suitably modified version of the standard IRWLS algorithm in a Poisson GLM/GAM setting. A dynamic version of this model is proposed to produce mortality projections. Numerical illustrations are performed on Belgian mortality statistics.

Keywords: Life tables; Accelerated hazard; Poisson regression; Rueff’s adjustment; Mortality projection (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:68:y:2016:i:c:p:1-16

DOI: 10.1016/j.insmatheco.2016.02.003

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