StMoMo (version 0.4.1)

cbd: Create a Cairns-Blake-Dowd mortality model

Description

Utility function to initialise a StMoMo object representing a Cairns-Blake-Dowd mortality model.

Usage

cbd(link = c("logit", "log"))

Arguments

link

defines the link function and random component associated with the mortality model. "log" would assume that deaths follow a Poisson distribution and use a log link while "logit" would assume that deaths follow a Binomial distribution and a logit link. Note that the default is the logit link.

Value

An object of class "StMoMo".

Details

The created model is either a logit-Binomial or a log-Poisson version of the Cairns-Blake-Dowd mortality model which has predictor structure $$\eta_{xt} = \kappa_t^{(1)} + (x-\bar{x})\kappa_t^{(2)},$$ where \(\bar{x}\) is the average age in the data.

References

Cairns, A. J. G., Blake, D., & Dowd, K. (2006). A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration. Journal of Risk and Insurance, 73(4), 687-718.

See Also

StMoMo, central2initial, m6, m7, m8

Examples

# NOT RUN {
CBD <- cbd()
CBDfit <- fit(CBD, data = central2initial(EWMaleData), ages.fit = 55:89)
plot(CBDfit, parametricbx = FALSE)

# }