The prediction of future mortality rates is a problem of fundamental importance for the insurance and pensions industry. We show how the method of P -splines (Eilers and Marx, 1996) can be extended to the smoothing and forecasting of two-dimensional mortality tables. We use a penalized generalized linear model (PGLM) with Poisson errors and show how to construct regression and penalty matrices appropriate for two-dimensional modelling. An important feature of our method is that forecasting is a… CONTINUE READING