Create an M6 type extension of the Cairns-Blake-Dowd mortality model
Utility function to initialise a StMoMo object representing the
M6 (CBD with cohorts) extension of the Cairns-Blake-Dowd mortality model
introduced in Cairns et al (2009).
m6(link = c("logit", "log"))link |
defines the link function and random component associated with
the mortality model. |
The created model is either a logit-Binomial or a log-Poisson version of the M6 model which has predictor structure
η_{xt} = κ_t^{(1)} + (x-\bar{x})κ_t^{(2)} + γ_{t-x},
where \bar{x} is the average age in the data.
Identifiability of the model is accomplished by applying parameters constraints
∑_cγ_c = 0, ∑_c cγ_c = 0
which ensure that the cohort effect fluctuates around zero and has no linear trend. These constraints are applied using the strategy discussed in Appendix A of Haberman and Renshaw (2011).
An object of class "StMoMo".
Cairns, A. J. G., Blake, D., Dowd, K., Coughlan, G. D., Epstein, D., Ong, A., & Balevich, I. (2009). A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. North American Actuarial Journal, 13(1), 1-35.
Haberman, S., & Renshaw, A. (2011). A comparative study of parametric mortality projection models. Insurance: Mathematics and Economics, 48(1), 35-55.
StMoMo, central2initial,
cbd, m7, m8
M6 <- m6() wxt <- genWeightMat(55:89, EWMaleData$years, clip = 3) M6fit <- fit(M6, data = central2initial(EWMaleData), ages.fit = 55:89) plot(M6fit, parametricbx = FALSE)
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