StMoMo: An R Package for Stochastic Mortality Modelling

38 Pages Posted: 3 Dec 2015

See all articles by Andrés Villegas

Andrés Villegas

University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR)

Vladimir K. Kaishev

City University London - The Business School

Pietro Millossovich

The Business School (formerly Cass); University of Trieste - Dipartimento di Scienze Aziendali Economiche Matematiche e Statistiche B. de Finetti

Date Written: December 3, 2015

Abstract

In this paper we mirror the framework of generalised (non-)linear models to de ne 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

Suggested Citation

Villegas, Andrés and Kaishev, Vladimir K. and Millossovich, Pietro, StMoMo: An R Package for Stochastic Mortality Modelling (December 3, 2015). 7th Australasian Actuarial Education and Research Symposium, Available at SSRN: https://ssrn.com/abstract=2698729 or http://dx.doi.org/10.2139/ssrn.2698729

Andrés Villegas (Contact Author)

University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) ( email )

Level 6, Central Lobby (enter via East Lobby)
Australian School of Business Building
Sydney, New South Wales NSW 2052
Australia

Vladimir K. Kaishev

City University London - The Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Pietro Millossovich

The Business School (formerly Cass) ( email )

Northampton Square
London, EC1V 0HB
United Kingdom

University of Trieste - Dipartimento di Scienze Aziendali Economiche Matematiche e Statistiche B. de Finetti ( email )

Piazzale Europa, 1
Trieste, 34127
Italy

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