F. Ungolo, Len Patrick Dominic M. Garces, M. Sherris, Yuxin Zhou
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引用次数: 0
Abstract
This paper presents the AffineMortality R package which performs parameter estimation, goodness-of-fit analysis, simulation, and projection of future mortality rates for a set of affine mortality models for use in pricing and reserving. The computational routines build on the univariate Kalman Filtering approach of Koopman and Durbin ((2000). Journal of Time Series Analysis,21(3), 281–296.) along other numerical methods to enhance the robustness of the results. This paper provides a discussion of how the package works in order to effectively estimate and project survival curves, and describes the available functions. Illustration of the package for mortality analysis of the US male data set is provided.
本文介绍了 AffineMortality R 软件包，该软件包可对一组仿射死亡率模型进行参数估计、拟合优度分析、模拟和未来死亡率预测，以用于定价和储备。计算例程基于 Koopman 和 Durbin 的单变量卡尔曼滤波方法（2000 年）。Journal of Time Series Analysis，21(3)，281-296）以及其他数值方法，以增强结果的稳健性。本文讨论了该软件包如何有效地估算和预测生存曲线，并介绍了可用的函数。本文还提供了该软件包对美国男性数据集进行死亡率分析的示例。
期刊介绍：
Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance.
Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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