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StMoMo: An R Package for Stochastic Mortality Modelling

Millossovich, P., Villegas, A.M. and Kaishev, V. K. (2018). StMoMo: An R Package for Stochastic Mortality Modelling. Journal of Statistical Software, 84(3), doi: 10.18637/jss.v084.i03

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Abstract

In this paper we mirror the framework of generalized (non-)linear models to define the family of generalized age-period-cohort stochastic mortality models which encompasses the vast majority of stochastic mortality projection models proposed to date, including the well-known Lee-Carter and Cairns-Blake-Dowd models. We also introduce the R package StMoMo which exploits the unifying framework of the generalized age-period-cohort family to provide tools for fitting stochastic mortality models, assessing their goodness of fit and performing mortality projections. We illustrate some of the capabilities of the package by performing a comparison of several stochastic mortality models applied to the England and Wales population.

Publication Type: Article
Additional Information: © the authors; the authors allow anyone to download, reuse, reprint, modify, distribute, and/or copy articles in JSS, so long as the original authors and source are credited.
Publisher Keywords: mortality modeling; mortality forecasting; age-period-cohort; generalized nonlinear models;
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
H Social Sciences > HG Finance
Departments: Cass Business School > Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/17378
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