Journal
STATISTICAL MODELLING
Volume 4, Issue 4, Pages 279-298Publisher
SAGE PUBLICATIONS LTD
DOI: 10.1191/1471082X04st080oa
Keywords
forecasting; mortality; overdispersion; P-splines; two dimensions
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The prediction of future mortality rates is a problem of fundamental importance for the insurance and pensions industry. We show how the method of P-splines can be extended to the smoothing and forecasting of two-dimensional mortality tables. We use a penalized generalized linear model with Poisson errors and show how to construct regression and penalty matrices appropriate for two-dimensional modelling. An important feature of our method is that forecasting is a natural consequence of the smoothing process. We illustrate our methods with two data sets provided by the Continuous Mortality Investigation Bureau, a central body for the collection and processing of UK insurance and pensions data.
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