This course focuses on the statistical estimation of static and dynamic mortality models with R.
After a general introduction, we review non-parametric (smoothing) approaches and parametric Poisson, Binomial and Gaussian static models. To illustrate this topic, we introduce the R packages MortalityLaws and Demography.
In the second Section, we learn how to build mortality experience tables in presence of censorship. These tables make possible the comparison of the mortality experienced by the insurer with the general mortality.
The last part of the course is dedicated to dynamic mortality models. We start with the Lee-Carter model and compare the SVD approach to the Poisson model. We present next the CBD and Age-Period-Cohort models and their implementation with the R package STMoMo.
The course is concluded with an introduction to multi-population dynamic mortality models. We first focus on the stratified Lee-Carter model and implement it in R. We next present the Li & Lee model and the R package MortalityForecast.
The R code of all illustrations will be distributed to participants and their content will be presented during the lecture.
Survival & death probabilities
Static mortality probabilities
Scientific Advisor, Detralytics
Professor, UCLouvain
At the end of this course, participants will be able to find mortality data available on the web and to download them in R, to estimate in R any static parametric models with a rigorous statistical method and to avoid common pitfalls, to construct an experience mortality curve and to manage censorship, to compute prospective mortality tables with age, period and cohort models for a single population, to use R packages, MortalityLaws, Demography, StMoMo, MortalityForecast, to estimate multi-populations models and to write her/his own code for implementing non-standard mortality models.
Donatien Hainaut is a Scientific Advisor at Detralytics and a professor at UCLouvain (Belgium), where he serves as the Director of the Master’s program in Data Science with a statistical orientation. Prior to this, he held several academic positions, including Associate Professor at Rennes School of Business and ENSAE in Paris. He also has extensive industry experience, having worked as a Risk Officer, Quantitative Analyst, and ALM Officer.
Donatien is a Qualified Actuary and holds a PhD in the field of Asset and Liability Management. His current research focuses on contagion mechanisms in stochastic processes and the applications of neural networks in insurance.
