On fitting generalized linear and non-linear models of mortality

Iain D. Currie

Scandinavian Actuarial Journal, 2016, vol. 2016, issue 4, 356-383

Abstract: Many common models of mortality can be expressed compactly in the language of either generalized linear models or generalized non-linear models. The R language provides a description of these models which parallels the usual algebraic definitions but has the advantage of a transparent and flexible model specification. We compare eight model structures for mortality. For each structure, we consider (a) the Poisson models for the force of mortality with both log and logit link functions and (b) the binomial models for the rate of mortality with logit and complementary log–log link functions. Part of this work shows how to extend the usual smooth two-dimensional P-spline model for the force of mortality with Poisson error and log link to the other smooth two-dimensional P-spline models with Poisson and binomial errors defined in (a) and (b). Our comments are based on the results of fitting these models to data from six countries: Australia, France, Japan, Sweden, UK and USA. We also discuss the possibility of forecasting with these models; in particular, the introduction of cohort terms generally leads to an improvement in overall fit, but can also make forecasting with these models problematic.

Date: 2016
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Citations: View citations in EconPapers (10)

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DOI: 10.1080/03461238.2014.928230

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