In this paper we mirror the framework of generalized (non-)linear models to define the family of generalized age-period-cohort stochastic mortality models which encompasses the vast majority of stochastic mortality projection models proposed to date, including the well-known Lee-Carter and Cairns-Blake-Dowd models. We also introduce the R package StMoMo which exploits the unifying framework of the generalized age-period-cohort family to provide tools for fitting stochastic mortality models, assessing their goodness of fit and performing mortality projections. We illustrate some of the capabilities of the package by performing a comparison of several stochastic mortality models applied to the England and Wales population.

StMoMo: Stochastic Mortality Modeling in R

MILLOSSOVICH, PIETRO;
2018

Abstract

In this paper we mirror the framework of generalized (non-)linear models to define the family of generalized age-period-cohort stochastic mortality models which encompasses the vast majority of stochastic mortality projection models proposed to date, including the well-known Lee-Carter and Cairns-Blake-Dowd models. We also introduce the R package StMoMo which exploits the unifying framework of the generalized age-period-cohort family to provide tools for fitting stochastic mortality models, assessing their goodness of fit and performing mortality projections. We illustrate some of the capabilities of the package by performing a comparison of several stochastic mortality models applied to the England and Wales population.
17-apr-2018
Pubblicato
https://www.jstatsoft.org/article/view/v084i03
https://www.jstatsoft.org/index.php/jss/article/view/v084i03/v84i03.pdf
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11368/2926351
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