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A dynamic parameterization modeling for the age-period-cohort mortality

  • Hatzopoulos, P.
  • Haberman, S.
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    An extended version of Hatzopoulos and Haberman (2009) dynamic parametric model is proposed for analyzing mortality structures, incorporating the cohort effect. A one-factor parameterized exponential polynomial in age effects within the generalized linear models (GLM) framework is used. Sparse principal component analysis (SPCA) is then applied to time-dependent GLM parameter estimates and provides (marginal) estimates for a two-factor principal component (PC) approach structure. Modeling the two-factor residuals in the same way, in age-cohort effects, provides estimates for the (conditional) three-factor age-period-cohort model. The age-time and cohort related components are extrapolated using dynamic linear regression (DLR) models. An application is presented for England & Wales males (1841-2006).

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    File URL: http://www.sciencedirect.com/science/article/pii/S0167668711000357
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 49 (2011)
    Issue (Month): 2 (September)
    Pages: 155-174

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    Handle: RePEc:eee:insuma:v:49:y:2011:i:2:p:155-174
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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    1. Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K., 2002. "A Poisson log-bilinear regression approach to the construction of projected lifetables," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 373-393, December.
    2. Pitacco, Ermanno, 2004. "Survival models in a dynamic context: a survey," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 279-298, October.
    3. Shiro Horiuchi & John Wilmoth, 1998. "Deceleration in the age pattern of mortality at olderages," Demography, Springer, vol. 35(4), pages 391-412, November.
    4. Rob J. Hyndman & Md. Shahid Ullah, 2005. "Robust forecasting of mortality and fertility rates: a functional data approach," Monash Econometrics and Business Statistics Working Papers 2/05, Monash University, Department of Econometrics and Business Statistics.
    5. repec:cup:cbooks:9780521405737 is not listed on IDEAS
    6. Gao, Quansheng & Hu, Chengjun, 2009. "Dynamic mortality factor model with conditional heteroskedasticity," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 410-423, December.
    7. Renshaw, A. E. & Haberman, S., 2003. "On the forecasting of mortality reduction factors," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 379-401, July.
    8. Pitacco, Ermanno & Denuit, Michel & Haberman, Steven & Olivieri, Annamaria, 2009. "Modelling Longevity Dynamics for Pensions and Annuity Business," OUP Catalogue, Oxford University Press, number 9780199547272, March.
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