StMoMo: An R Package for Stochastic Mortality Modelling
38 Pages Posted: 3 Dec 2015
Date Written: December 3, 2015
In this paper we mirror the framework of generalised (non-)linear models to dene 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 tting stochastic mortality models, assessing their goodness of t 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.
Keywords: Mortality modelling; mortality forecasting; generalised linear models; generalised non-linear models
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