Create a Lee-Carter model
Utility function to initialise a StMoMo object representing a
Lee-Carter model.
lc(link = c("log", "logit"), const = c("sum", "last", "first"))link |
defines the link function and random component associated with
the mortality model. |
const |
defines the constraint to impose to the period index of the
model to ensure identifiability. The alternatives are
|
The created model is either a log-Poisson (see Brouhns et al (2002)) or a logit-Binomial version of the Lee-Carter model which has predictor structure
η_{xt} = α_x + β_xκ_t.
To ensure identifiability one of the following constraints is imposed
∑_tκ_t = 0,\,κ_1 = 0,\, κ_n = 0
depending on the value of const, and
∑_xβ_x = 1.
An object of class "StMoMo".
Brouhns, N., Denuit, M., & Vermunt, J. K. (2002). A Poisson log-bilinear regression approach to the construction of projected lifetables. Insurance: Mathematics and Economics, 31(3), 373-393.
Lee, R. D., & Carter, L. R. (1992). Modeling and forecasting U.S. mortality. Journal of the American Statistical Association, 87(419), 659-671.
#sum(kt) = 0 and log link
LC1 <- lc()
LCfit1<-fit(LC1, data = EWMaleData, ages.fit = 55:89)
plot(LCfit1)
#kt[1] = 0 and log link
LC2 <- lc(const = "first")
LCfit2<-fit(LC2, data = EWMaleData, ages.fit = 55:89)
plot(LCfit2)
#kt[n] = 0 and logit link
LC3 <- lc("logit", "last")
LCfit3<-fit(LC3, data = EWMaleData, ages.fit = 55:89)
plot(LCfit3)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.