WH

CRANWHMaRDI QIDQ5982024

Enhanced Implementation of Whittaker-Henderson Smoothing

Guillaume Biessy

Last update: 18 September 2023

Software version identifier: 1.0.3, 1.1.0

Copyright license: GNU General Public License

Description

An enhanced implementation of Whittaker-Henderson smoothing for the gradation of one-dimensional and two-dimensional actuarial tables used to quantify Life Insurance risks. 'WH' is based on the methods described in Biessy (2023) <doi:10.48550/arXiv.2306.06932>. Among other features, it generalizes the original smoothing algorithm to maximum likelihood estimation, automatically selects the smoothing parameter(s) and extrapolates beyond the range of data.

Cites work

• Revisiting Whittaker-Henderson Smoothing