Fast Estimation of the Renshaw-Haberman Model and Its Variants
arxiv(2023)
摘要
In mortality modelling, cohort effects are often taken into consideration as
they add insights about variations in mortality across different generations.
Statistically speaking, models such as the Renshaw-Haberman model may provide a
better fit to historical data compared to their counterparts that incorporate
no cohort effects. However, when such models are estimated using an iterative
maximum likelihood method in which parameters are updated one at a time,
convergence is typically slow and may not even be reached within a reasonably
established maximum number of iterations. Among others, the slow convergence
problem hinders the study of parameter uncertainty through bootstrapping
methods.
In this paper, we propose an intuitive estimation method that minimizes the
sum of squared errors between actual and fitted log central death rates. The
complications arising from the incorporation of cohort effects are overcome by
formulating part of the optimization as a principal component analysis with
missing values. We also show how the proposed method can be generalized to
variants of the Renshaw-Haberman model with further computational improvement,
either with a simplified model structure or an additional constraint. Using
mortality data from the Human Mortality Database (HMD), we demonstrate that our
proposed method produces satisfactory estimation results and is significantly
more efficient compared to the traditional likelihood-based approach.
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