Statistical Modelling 4 (2004), 279–298
Smoothing and forecasting mortality rates
Iain D. Currie
Department of Actuarial Mathematics and Statistics,
Heriot-Watt University,
Edinburgh EH14 4As,
UK
eMail:
i.d.currie@hw.ac.uk
Maria Durban
Departamento de Estadistica y Econometria,
Universidad Carlos III de Madrid,
Edificio Torres Quevedo, Leganes,
Madrid, Spain
Paul H.C. Eilers
Department of Medical Statistics,
Leiden University Medical Center,
Leiden, The Netherlands
Abstract:
The prediction of future mortality rates is a problem of
fundamental importance for the insurance and pensions industry.
We show how the method of P-splines can be extended to the
smoothing and forecasting of two-dimensional mortality tables.
We use a penalized generalized linear model with Poisson errors
and show how to construct regression and penalty matrices
appropriate for twodimensional modelling. An important feature
of our method is that forecasting is a natural consequence of
the smoothing process. We illustrate our methods with two data
sets provided by the Continuous Mortality Investigation Bureau,
a central body for the collection and processing of UK insurance
and pensions data.
Keywords:
forecasting; mortality; overdispersion; P-splines;
two dimensions
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