LifeMetrics Open Source R code for Stochastic Mortality Modelling
Andrew Cairns is co-inventor of the
CBD stochastic mortality models
and author of the LifeMetrics open source R code
for fitting stochastic mortality models that can be used for
modelling, measurement and management of longevity risk.
From 2007 the open source code was available on www.lifemetrics.com. However,
since 2013 this service has been discontinued and the software has not
yet been made available on www.llma.com.
In order to continue this service to the longevity-risk community, the
software is available for download below.
By clicking on the links below you agree to the following terms and conditions:
- You understand that neither LifeMetrics nor Andrew Cairns will provide any
free lifemetrics software backup or help service.
- You understand that neither LifeMetrics nor Andrew Cairns will provide any
help service in relation to the installation and use of R.
- The R code may only be used for personal research purposes.
- The R source code may not be used for commercial purposes.
Downloads
- LifeMetrics User Guide V5
- LifeMetrics Open Source R Code
-
Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D.,
Ong, A., and Balevich, I. (2009)
A quantitative comparison of stochastic mortality models using
data from England and Wales and the United States.
- North American Actuarial Journal 13(1): 1-35.
(Reprint.)
Copyright 2009 by the Society of Actuaries, Schaumburg, Illinois. Reprinted with permission.
-
Longer version (preprint, 2007)
(PDF file.)
-
Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D.,
and Khalaf-Allah, M. (2011)
Mortality density forecasts: an analysis of six stochastic mortality models.
Insurance: Mathematics and Economics, 48: 355-367.
(PDF file.)
Please e-mail me for an official reprint.
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home page.