Stabilising projections

(Jul 21, 2009)

With many stochastic models of mortality, projections of future mortality rates are done using a time seriesIn a landmark paper, Currie, Durban and Eilers (2004) introduced the idea of using P-splines as an alternative means of generating a forecast.  P-splines formed the basis of a projection tool the CMI made freely available in 2005.

An oft-heard criticism of P-spline projections is that they can be volatile from year to year when adding new data.  This criticism was repeated in a recent paper by the CMI's projections working party:

"[...] the Working Party was concerned that adopting a P-spline methodology could introduce [an] unwanted "edge effect", i.e. that the initial rates of…

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Tags: P-splines, time series, mortality projections, CMI

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