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Joint modelling of male and female mortality rates using adaptive P-splines

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  • Tang, Kai Hon
  • Dodd, Erengul
  • Forster, Jonathan J.

Abstract

Raw mortality data often exhibit irregular patterns due to randomness. Graduation refers to the act of smoothing crude mortality rates. In this paper, we propose a flexible and robust methodology for graduating mortality rates using adaptive P-splines. Since the observed data at high ages are often sparse and unreliable, we use an exponentially increasing penalty. We use mortality data of England and Wales and model male and female mortality rates jointly by means of penalties, achieving borrowing of information between the two sexes.

Suggested Citation

  • Tang, Kai Hon & Dodd, Erengul & Forster, Jonathan J., 2022. "Joint modelling of male and female mortality rates using adaptive P-splines," Annals of Actuarial Science, Cambridge University Press, vol. 16(1), pages 119-135, March.
    • Handle: RePEc:cup:anacsi:v:16:y:2022:i:1:p:119-135_7
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