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- Publisher
- SAGE
- Copyright
- Copyright © by SAGE Publications
- ISSN
- 1471-082X
- eISSN
- 1477-0342
- DOI
- 10.1191/1471082X04st080oa
- Publisher site
- See Article on Publisher Site
Abstract
The prediction of future mortality rates is a problem of fundamental importance forthe insurance and pensions industry. We show how the method of P-splinescan be extended to the smoothing and forecasting of two-dimensional mortalitytables. We use a penalized generalized linear model with Poisson errors and show howto construct regression and penalty matrices appropriate for two-dimensionalmodelling. An important feature of our method is that forecasting is a naturalconsequence of the smoothing process. We illustrate our methods with two data setsprovided by the Continuous Mortality Investigation Bureau, a central body for thecollection and processing of UK insurance and pensions data.
Journal
Statistical Modelling: An International Journal – SAGE
Published: Dec 1, 2004