Dear All

This week's Statistics Seminar is on Thursday 22 November at 14.00 in S4.29, Strand Building. All welcome.

Title: Forecasting UK Mortality using Bayesian Generalised Additive Models

Speaker: Eren Dodd (University of Southampton)

Forecasts of mortality provide vital information about future populations, with implications for pension and healthcare policy as well as for decisions made by private companies about life insurance and annuity pricing. We develop a Bayesian approach to the forecasting of mortality that jointly estimates a generalized additive model (GAM) for mortality for the majority of the age range and a parametric model for older ages where the data are sparser. The GAM allows smooth components to be estimated for age, cohort and age-specific improvement rates, together with a non-smoothed period effect. Forecasts for the UK are produced by using data from the Human Mortality Database spanning the period 1961-2013. A metric that approximates predictive accuracy is used to estimate weights for the 'stacking' of forecasts from models with different points of transition between the GAM and parametric elements.

Mortality for males and females is estimated separately at first, but a joint model allows the asymptotic limit of mortality at old ages to be shared between sexes and furthermore provides for forecasts accounting for correlations in period innovations. The joint and single sex model forecasts estimated using data from 1961-2003 are compared against observed data from 2004-2013 to facilitate model assessment.

Best wishes
Steve

Steven Gilmour
Professor of Statistics
Department of Mathematics
King's College London
Strand | London | WC2R 2LS
UK
Tel +44 (0)20 7848 2698


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