StMoMo: An R Package for Stochastic Mortality Modeling

In this paper we mirror the framework of generalized (non-)linear models to define the family of generalized 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-Bl...

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Bibliographic Details
Main Authors: Andrés M. Villegas, Vladimir K. Kaishev, Pietro Millossovich
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2018-04-01
Series:Journal of Statistical Software
Subjects:
Online Access:https://www.jstatsoft.org/index.php/jss/article/view/2446
Description
Summary:In this paper we mirror the framework of generalized (non-)linear models to define the family of generalized 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 generalized age-period-cohort family to provide tools for fitting stochastic mortality models, assessing their goodnessof-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.
ISSN:1548-7660