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StMoMo: An R Package for Stochastic Mortality Modelling

Millossovich, P., Villegas, A.M. & Kaishev, V. K. (2015). StMoMo: An R Package for Stochastic Mortality Modelling. In: SSRN. 7th Australasian Actuarial Education and Research Symposium, 7th-8th December 2015, Bond University, Robina, Gold Coast, Queensland, Australia.

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In this paper we mirror the framework of generalised (non-)linear models to define the family of generalised 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 generalised 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: Conference or Workshop Item (Paper)
Publisher Keywords: Mortality modelling; mortality forecasting; generalised linear models; generalised non-linear models
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Actuarial Science & Insurance
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