ENI: Mortality ensemble interval

In demofit: Parametric Mortality Curve Fitting and Mortality Forecasting Tools

Mortality ensemble interval

Description

Generates ensemble interval forecast of mortality rates.

Usage

ENI(..., width = 0.95, method = 1, wm, nsim = 10, seed = 123)

Arguments

...	fitted model objects returned by LCS(), RHS(), APCS(), CBDS(), CBDCS(), CBDQCS(), and / or STARS().
width	coverage probability of interval (default = 0.95).
method	if 1, simple averaging; if 2, weighted averaging; if 3, envelope; if 4, interior trimming (default = 1).
wm	vector of weights for LC, RH, APC, M5, M6, M7, and / or STAR models if method = 2 (default = equal weights).
nsim	number of simulations (default = 10).
seed	seed for random number generator (default = 123).

Details

Ensemble interval forecast is constructed by combining interval forecasts from individual stochastic mortality models using different methods including simple averaging, weighted averaging, envelope, and interior trimming. See LCS(), RHS(), APCS(), CBDS(), CBDCS(), CBDQCS(), and STARS() for more details of different stochastic mortality models.

Value

An object of class ENI with associated S3 methods forecast and plot.

References

Li, J., Wang, M., Liu, J., and Tickle, L. (2025). Ensemble interval forecasts of mortality. Scandinavian Actuarial Journal, 2025(6), 598-616.

Examples

x <- 60:69
a <- c(-4.8499,-4.7676,-4.6719,-4.5722,-4.4847,-4.3841,-4.2813,-4.1863,-4.0861,-3.9962)
b <- c(0.0801,0.0909,0.0948,0.0951,0.0965,0.1014,0.1042,0.1141,0.1110,0.1118)
k <- c(12.11,10.69,11.18,9.64,9.35,8.21,6.89,5.74,4.56,3.60,
3.27,2.04,1.11,-0.44,-1.05,-1.03,-1.84,-2.90,-4.03,-4.12,
-5.18,-5.64,-6.00,-6.51,-6.91,-6.90,-8.32,-8.53,-9.69,-9.31)
set.seed(123)
M <- exp(outer(k,b)+matrix(a,nrow=30,ncol=10,byrow=TRUE)+rnorm(300,0,0.035))
fit1 <- LCS(x=x,M=M,curve="makeham",h=30,jumpoff=2)
fit2 <- RHS(x=x,M=M,curve="makeham",h=30,jumpoff=2)
fit3 <- APCS(x=x,M=M,curve="makeham",h=30,jumpoff=2)
fit4 <- CBDS(x=x,M=M,curve="makeham",h=30,jumpoff=2)
fit <- ENI(fit1,fit2,fit3,fit4)
forecast::forecast(fit)
plot(fit)

demofit documentation built on June 12, 2026, 1:07 a.m.