m6 {StMoMo} | R Documentation |
Create an M6 type extension of the Cairns-Blake-Dowd mortality model
Description
Utility function to initialise a StMoMo
object representing the
M6 (CBD with cohorts) extension of the Cairns-Blake-Dowd mortality model
introduced in Cairns et al (2009).
Usage
m6(link = c("logit", "log"))
Arguments
link |
defines the link function and random component associated with
the mortality model. |
Details
The created model is either a logit-Binomial or a log-Poisson version of the M6 model which has predictor structure
where is the average age in the data.
Identifiability of the model is accomplished by applying parameters constraints
which ensure that the cohort effect fluctuates around zero and has no linear trend. These constraints are applied using the strategy discussed in Appendix A of Haberman and Renshaw (2011).
Value
An object of class "StMoMo"
.
References
Cairns, A. J. G., Blake, D., Dowd, K., Coughlan, G. D., Epstein, D., Ong, A., & Balevich, I. (2009). A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. North American Actuarial Journal, 13(1), 1-35.
Haberman, S., & Renshaw, A. (2011). A comparative study of parametric mortality projection models. Insurance: Mathematics and Economics, 48(1), 35-55.
See Also
StMoMo
, central2initial
,
cbd
, m7
, m8
Examples
M6 <- m6()
wxt <- genWeightMat(55:89, EWMaleData$years, clip = 3)
M6fit <- fit(M6, data = central2initial(EWMaleData), ages.fit = 55:89)
plot(M6fit, parametricbx = FALSE)