Information Matrix

In a recent paper presented to the Faculty of Actuaries, Stephen Richards and I discussed model risk and showed how it can have a material impact on mortality forecasts.  Different models have different features, some more desirable than others.  This post illustrates a particular problem with the original Lee-Carter model, and shows how it can be combatted via smoothing.  The choice of which parameters to smooth in the Lee-Carter model leads to a general family