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Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data. (English) Zbl 1284.91238

Insur. Math. Econ. 52, No. 2, 320-337 (2013); corrigendum ibid. 53, No. 3, 919 (2013).
Summary: A new common mortality modeling structure is presented for analyzing mortality dynamics for a pool of countries, under the framework of generalized linear models (GLM). The countries are first classified by fuzzy c-means cluster analysis in order to construct the common sparse age-period model structure for the mortality experience. Next, we propose a method to create the common sex difference age-period model structure and then use this to produce the residual age-period model structure for each country and sex. The time related principal components are extrapolated using dynamic linear regression (DLR) models and coherent mortality forecasts are investigated. We make use of mortality data from the “Human Mortality Database”.

MSC:

91B30 Risk theory, insurance (MSC2010)
91D20 Mathematical geography and demography
62P05 Applications of statistics to actuarial sciences and financial mathematics
62J12 Generalized linear models (logistic models)
62H30 Classification and discrimination; cluster analysis (statistical aspects)

Software:

DSPCA; CAPTAIN
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References:

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