Semi-parametric accelerated hazard Relational models with applications to Mortality projections

Cadena, Meitner;Denuit, Michel
(2015) , 28 pages

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Authors
  • Cadena, MeitnerUPMC Paris 6 et ESSEC Business School Paris, France
    Author
  • Denuit, MichelUCLouvain
    Author
Abstract
In this paper, we propose new relational models linking some specific mortality experience to a reference life table. Compared to existing relational models which distort the forces of mortality, we work here on the age scale. Precisely, age is distorted making individuals younger or older before performing the computations with the reference life table. This is in line with standard actuarial practice, specifically with the so-called Rueff's adjustments. It is shown that the statistical inference can be conducted with the help of a suitably modified version of the standard IRWLS algorithm in a Poisson GLM/GAM setting. A dynamic version of this model is proposed to produce mortality projections. Numerical illustrations are performed on Belgian mortality statistics.
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Cadena, M., & Denuit, M. (2015). Semi-parametric accelerated hazard Relational models with applications to Mortality projections (ISBA Discussion Paper 2015/13). https://hdl.handle.net/2078.5/191323