Signal or noise?

(Nov 25, 2016)

Each year since 2009 the CMI in the UK has released a spreadsheet tool for actuaries to use for mortality projections.  I have written about this tool a number of times, including how one might go about setting the long-term rate.  The CMI now wants to change how the spreadsheet is calibrated and has proposed the following model in CMI (2016a):

\[\log m_{x,y} = \alpha_x + \beta_x(y-\bar y) + \kappa_y + \gamma_{y-x}\qquad (1)\]

which the CMI calls the APCI model.  \(m_x\) is the central rate of mortality at age \(x\) in year \(y\) and \(\alpha_x\), \(\beta_x\), \(\kappa_y\) and \(\gamma_{y-x}\) are vectors of parameters to be estimated.  \(\bar y\) is the average year, which is used to centre the time index around…

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Tags: CMI, APCI, APC, Lee-Carter, Age-Period, smoothing

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