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- W4380558602 abstract "Introduced nearly a century ago, Whittaker-Henderson smoothing remains one of the most commonly used methods by actuaries for constructing one-dimensional and two-dimensional experience tables for mortality and other Life Insurance risks. This paper proposes to reframe this smoothing technique within a modern statistical framework and addresses six questions of practical interest regarding its use. Firstly, we adopt a Bayesian view of this smoothing method to build credible intervals. Next, we shed light on the choice of observation vectors and weights to which the smoothing should be applied by linking it to a maximum likelihood estimator introduced in the context of duration models. We then enhance the precision of the smoothing by relaxing an implicit asymptotic approximation on which it relies. Afterward, we select the smoothing parameters based on maximizing a marginal likelihood. We later improve numerical performance in the presence of a large number of observation points and, consequently, parameters. Finally, we extrapolate the results of the smoothing while preserving consistency between estimated and predicted values through the use of constraints." @default.
- W4380558602 created "2023-06-14" @default.
- W4380558602 creator A5082389946 @default.
- W4380558602 date "2023-06-12" @default.
- W4380558602 modified "2023-10-16" @default.
- W4380558602 title "Revisiting Whittaker-Henderson Smoothing" @default.
- W4380558602 doi "https://doi.org/10.48550/arxiv.2306.06932" @default.
- W4380558602 hasPublicationYear "2023" @default.
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