Francesco Ungolo, Michael Sherris, and Yuxin Zhou
Abstract: This tutorial provides guidance in the use of the R files within the Github repository affine mortality containing the code used to fit, examine and compare continuous time affine mortality models. The final implementation will be available as the R package AffineMortality. Throughout this tutorial we provide a discussion of how the code works in order to effectively estimate and project the models, and describe the functions available therein. Some illustration of the code for the analysis of the US dataset is provided.
Keywords: Longevity Risk, Kalman Filter, State-space models