Constraints: a lot of fuss about nothing?

(Mar 5, 2018)

Our paper, "A stochastic implementation of the APCI model for mortality projections", was presented at the Institute and Faculty of Actuaries in October 2017. There was quite a discussion of the role of constraints in the fitting and forecasting of models of mortality. This got me wondering if constraints weren't in fact a red herring. This blog is a short introduction to the results of my investigation into the role, or indeed the non-role, of constraints in modelling and forecasting mortality.

We illustrate our argument with data on UK males from ages 40-104 and for years 1961-2015 from the Office for National Statistics (ONS). We have the number of deaths, \(d_{x,y}\), age \(x\) last birthday in year \(y\)

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Tags: constraints, identifiability, Age-Period model

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