Hatzopoulos, P.; Haberman, S. - In: Insurance: Mathematics and Economics 44 (2009) 1, pp. 103-123
A new method is proposed of constructing mortality forecasts. This parameterized approach utilizes Generalized Linear Models (GLMs), based on heteroscedastic Poisson (non-additive) error structures, and using an orthonormal polynomial design matrix. Principal Component (PC) analysis is then...