StanMoMo

CRANStanMoMoMaRDI QIDQ104760

Bayesian Mortality Modelling with 'Stan'

Karim Barigou, Pierre-Olivier Goffard

Last update: 23 September 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.1.0, 1.2.0

Description

Implementation of popular mortality models using the 'rstan' package, which provides the R interface to the 'Stan' C++ library for Bayesian estimation. The package supports well-known models proposed in the actuarial and demographic literature including the Lee-Carter (1992) <doi:10.1080/01621459.1992.10475265> and the Cairns-Blake-Dowd (2006) <doi:10.1111/j.1539-6975.2006.00195.x> models. By a simple call, the user inputs deaths and exposures and the package outputs the MCMC simulations for each parameter, the log likelihoods and predictions. Moreover, the package includes tools for model selection and Bayesian model averaging by leave future-out validation.

Cites work

• A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration
• Modeling and Forecasting U.S. Mortality