Bivariate discrete beta Kernel graduation of mortality data.

Abstract

Various parametric/nonparametric techniques have been proposed in literature to graduate mortality data as a function of age. Nonparametric approaches, as for example kernel smoothing regression, are often preferred because they do not assume any particular mortality law. Among the existing kernel smoothing approaches, the recently proposed (univariate) discrete beta kernel smoother has been shown to provide some benefits. Bivariate graduation, over age and calendar years or durations, is common practice in demography and actuarial sciences. In this paper, we generalize the discrete beta kernel smoother to the bivariate case, and we introduce an adaptive bandwidth variant that may provide additional benefits when data on exposures to the risk of death are available; furthermore, we outline a cross-validation procedure for bandwidths selection. Using simulations studies, we compare the bivariate approach proposed here with its corresponding univariate formulation and with two popular nonparametric bivariate graduation techniques, based on Epanechnikov kernels and on P-splines. To make simulations realistic, a bivariate dataset, based on probabilities of dying recorded for the US males, is used. Simulations have confirmed the gain in performance of the new bivariate approach with respect to both the univariate and the bivariate competitors.