llc: a collection of R functions for fitting a class of Lee-Carter mortality models using iterative fitting algorithms

Butt, Z. & Haberman, S. (2009). llc: a collection of R functions for fitting a class of Lee-Carter mortality models using iterative fitting algorithms (Report No. Actuarial Research Paper No. 190). London, UK: Faculty of Actuarial Science & Insurance, City University London.

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Abstract

We implement a specialised iterative regression methodology in R for the analysis of age-period mortality data based on a class of generalised Lee-Carter (LC) type modelling structures. The LC-based modelling frameworks is viewed in the current literature as among the most efficient and transparent methods of modelling and projecting mortality improvements. Thus, we make use of the modelling approach discussed in Renshaw and Haberman (2006), which extends the basic LC model and proposes to make use of a tailored iterative process to generate parameter estimates based on Poisson likelihood. Furthermore, building on this methodology we develop and implement a stratified LC model for the measurement of the additive effect on the log scale of an explanatory factor (other than age and time). This modelling methodology is implemented in a publically available collection of programming functions that facilitate both the preparation of mortality data and the fitting and analysis of the given log-linear modelling structures. Also, the package incorporates methods to produce forecasts of future mortality rates and to compute the corresponding future life expectancy.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: generalised/extended Lee-Carter models, age-period-cohort models, iterative estimation approach, statistical programming in R
Subjects: H Social Sciences > HG Finance
Divisions: Cass Business School > Faculty of Actuarial Science & Insurance > Faculty of Actuarial Science & Insurance Actuarial Research Reports
URI: http://openaccess.city.ac.uk/id/eprint/2321

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