Working paper 20 includes the feedback received to Working Paper 15 and the Working Party's responses to this feedback, plus a summary of the CMI's activity in this area since Working Paper 15 was published.
Subsequent sections of this paper provide more detail on the P-Spline methodology, including:
- a description of the models and datasets used;
- a guide to using the output from the P-Spline modelling software made available by the CMI;
- a discussion of various features of the P-Spline models and guidance on parameterisation of the P-Spline model;
- sample annuity values for use in 2004 produced using the P-Spline projections and data to 2003 which are then compared to annuity values based on the interim cohort projections, plus how the equivalent sample annuity values for use in each year between 1993 and 2004 would have progressed as more data became available over the period;
- tentative conclusions regarding the P-Spline methodology; and
- next steps.
From 2005 to 2008 the CMI made available the illustrative software it used in its research into mortality projections. The software is not commercial grade but was intended to allow users to experiment with the methodologies. The software uses the statistical package R, together with the R(D)COM interface. The software was withdrawn for new users early in 2009 after the CMI became aware that it is not compatible with newer versions of R and/or the interface but is now available on request to anyone able to locate appropriate versions of R and the interface.
Subsequent to the publication of CMI Working Paper 20 the CMI became aware that the dataset for permanent assurances for male lives used included initial exposures but was used as if these were central exposures. As a result, the results published in CMI Working Paper 20 (and CMI Working Paper 25 and 27) that used this dataset were inaccurate.
More details on this issue and its impact can be found in the Errata to CMI Working Papers 20, 25 and 27 on Mortality Projections
Subsequent to the publication of CMI Working Paper 27 the CMI became aware that the dataset for permanent assurances for male lives used in recent research into mortality projections included initial exposures but was used as if these were central exposures. As a result, the results published in Working Papers CMI Working Paper 20, 25 and 27 and the projections in the draft library that used this dataset were inaccurate.
CMI Working Paper 20 has been revised to take account of this issue. Please note that this version of CMI Working Paper 20 has NOT been updated for any developments subsequent to its original publication, other than the noted errata. Should you require a copy of the original version, please contact the CMI.
- 26 April 2005
- 1 November 2007
- 1 November 2007
CMI Working paper 20 (revised). Stochastic projection methodologies - Further progress and P-Spline model features, example results and implications.1 November 2007
CMI Working paper 25 (revised). Stochastic projection methodologies: Lee-Carter model features, example results and implications23 November 2007
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