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

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• 作者：Meitner Cadena^a ; ^{b00454799@essec.edu" class="auth_mail" title="E-mail the corresponding author} ; Michel Denuit^b
• 关键词：Life tables ; Accelerated hazard ; Poisson regression ; Rueff&rsquo ; s adjustment ; Mortality projection
• 刊名：Insurance: Mathematics and Economics
• 出版年：2016
• 出版时间：May 2016
• 年：2016
• 卷：68
• 期：Complete
• 页码：1-16
• 全文大小：1148 K

文摘

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.