AffineMortality: An R package for estimation, analysis and projection of affine mortality models

Francesco Ungolo, Len Patrick Dominic M. Garces, Michael Sherris, and Yuxin Zhou

Abstract: This paper presents the AffineMortality R package which performs parameter estimation, goodness of fit analysis, simulation and projection of future mortality rates for a set of affine mortality models for use in pricing and reserving. The computational routines build on the univariate Kalman Filtering approach of Koopman & Durbin (2000) along other numerical methods to enhance the robustness of the results. This paper provides a discussion of how the package works in order to effectively estimate and project the models, and describes the available functions. Illustration of the package for mortality analysis of the US HMD dataset is provided.

Keywords: Longevity Risk, Kalman Filter, State-space models, Affine mortality