StMoMo: An R Package for Stochastic Mortality Modeling

Abstract

In this paper we mirror the framework of generalized (non-)linear models to define the family of generalized age-period-cohort stochastic mortality models which encompasses the vast majority of stochastic mortality projection models proposed to date, including the well-known Lee-Carter and Cairns-Blake-Dowd models. We also introduce the R package StMoMo which exploits the unifying framework of the generalized age-period-cohort family to provide tools for fitting stochastic mortality models, assessing their goodnessof-fit and performing mortality projections. We illustrate some of the capabilities of the package by performing a comparison of several stochastic mortality models applied to the England and Wales population.

Keywords

• mortality modeling
• mortality forecasting
• age-period-cohort
• generalized non-linear models