Information Matrix

This blog brings together two pieces of work. The first is the paper we presented to the Institute and Faculty of Actuaries, "A stochastic implementation of the APCI model for mortality projections", which will appear in the British Actuarial Journal. The second is a previous blog where I examined the role of constraints in models of mortality.

Each year since 2009 the CMI in the UK has released a spreadsheet tool for actuaries to use for mortality projections. I have written about this tool a number of times, including how one might go about setting the long-term rate. The CMI now wants to change how the spreadsheet is calibrated and has proposed the following model in CMI (2016a):

\[\log m_{x,y} = \alpha_x + \beta_x(y-\bar y) + \kappa_y + \gamma_{y-x}\qquad (1)\]