Joint modelling of male and female mortality rates using adaptive P-splines
Joint modelling of male and female mortality rates using adaptive P-splines
Raw mortality data often exhibit irregular patterns due to randomness. Graduation refers to the act of smoothing crude mortality rates. In this paper, we propose a flexible and robust methodology for graduating mortality rates using adaptive P-splines. Since the observed data at high ages are often sparse and unreliable, we use an exponentially increasing penalty. We use mortality data of England and Wales and model male and female mortality rates jointly by means of penalties, achieving borrowing of information between the two sexes.
Adaptive Splines, Joint Mortality Modelling, Mortality Graduation, P-splines
Tang, Kai Hon
cac22cc9-9a49-4de8-a07d-fe1d4de5b5e7
Dodd, Erengul
b3faed76-f22b-4928-a922-7f0b8439030d
Forster, Jonathan
861ea8f2-1471-4b3e-8078-8a300cca91e5
29 April 2021
Tang, Kai Hon
cac22cc9-9a49-4de8-a07d-fe1d4de5b5e7
Dodd, Erengul
b3faed76-f22b-4928-a922-7f0b8439030d
Forster, Jonathan
861ea8f2-1471-4b3e-8078-8a300cca91e5
Tang, Kai Hon, Dodd, Erengul and Forster, Jonathan
(2021)
Joint modelling of male and female mortality rates using adaptive P-splines.
Annals of Actuarial Science.
(doi:10.1017/S1748499521000105).
Abstract
Raw mortality data often exhibit irregular patterns due to randomness. Graduation refers to the act of smoothing crude mortality rates. In this paper, we propose a flexible and robust methodology for graduating mortality rates using adaptive P-splines. Since the observed data at high ages are often sparse and unreliable, we use an exponentially increasing penalty. We use mortality data of England and Wales and model male and female mortality rates jointly by means of penalties, achieving borrowing of information between the two sexes.
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Life Table paper final
- Accepted Manuscript
More information
Accepted/In Press date: 9 March 2021
e-pub ahead of print date: 29 April 2021
Published date: 29 April 2021
Additional Information:
Publisher Copyright:
© The Author(s), 2021. Published by Cambridge University Press on behalf of Institute and Faculty of Actuaries.
Copyright:
Copyright 2021 Elsevier B.V., All rights reserved.
Keywords:
Adaptive Splines, Joint Mortality Modelling, Mortality Graduation, P-splines
Identifiers
Local EPrints ID: 449417
URI: http://eprints.soton.ac.uk/id/eprint/449417
ISSN: 1748-4995
PURE UUID: e09235f8-15a4-4f30-b38b-232635d89eb5
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Date deposited: 27 May 2021 16:32
Last modified: 17 Mar 2024 03:34
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Contributors
Author:
Kai Hon Tang
Author:
Jonathan Forster
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