Information Matrix

Filter

Posts feed
Publication date

Model selection

When fitting a mortality model, analysts are faced with the decision of which risk factors to include or exclude.  One way of doing this is to look for the improvement in an information criterion that balances the fit against the number of parameters.  The bigger the improvement in the information criterion, the more strongly the model with the smaller value is preferred.

Written by: Stephen RichardsTags: information criterion, AIC, relative likelihood

Constraints and the R language

This is the fourth and final blog on the use of constraints in the modelling and forecasting of mortality. The previous three blogs (here, here and here) demonstrated that there is no need to worry about which linear constraints to use: the fitted values of mortality and crucially their forecast values always come out the same.

Written by: Iain CurrieTags: identifiability constraints, R language

From magical thinking to statistical thinking

The Institute and Faculty of Actuaries in the UK has recently added mortality projection to its syllabus, so this year I have been teaching the subject for the first time to students at Heriot-Watt University.
Written by: Angus MacdonaldTags: mortality projections, deterministic models

Matrix repair

When fitting a statistical model we want two things as a minimum:

Written by: Stephen RichardsTags: information matrix, covariance matrix

Immune response

The resurgence of measles in Europe signals something of a confidence crisis in the area of vaccination, and not for the first time. Mass panics of this sort are not new, but the reach of modern hysteria is aided by technology.
Written by: Gavin RitchieTags: longevity, vaccination

One (more) time passcodes

Passwords seldom stand alone in modern applications, and for good reason. Perhaps they might be guessed or leak or otherwise be broken, so it is a bad idea to make them the only line of defence. This is why multi-factor authentication (MFA) is modern best practice.
Written by: Gavin RitchieTags: technology

All about the base(line)

When we first developed a technique for putting longevity trend risk into a 1-in-200 framework consistent with Solvency II, we sought to accommodate model risk by supporting a wide range of stochastic projection models.
Written by: Gavin RitchieTags: VaR, smoothing, mortality projections

Mortality convergence

In his blog on socio-economic differentials in England and Wales, Torsten Kleinow showed how mortality rates between sub-groups converge with age. And in his blog on ill-health retirements, Kai Kaufhold demonstrated how excess mortality relative to normal retirements reduces, then vanishes.
Written by: Stephen RichardsTags: mortality convergence, compensation law of mortality, mortality plasticity

Auditing firewalls

In a recent blog I discussed the security improvements brought by changing our certification authority, but that isn't our only recent change.
Written by: Gavin RitchieTags: technology, defence in-depth

Fun and games with constraints

I'm a statistician so I worry about standard errors just as much as I worry about point estimates. My blog Up close and intimate with the APCI model looked at the effect of different constraints on parameter estimates in models of mortality. This blog looks at the effect of constraints on the standard errors of the parameter estimates.

Written by: Iain CurrieTags: constraints, identifiability