Dynamic mortality factor model with conditional heteroskedasticity

DOI10.1016/j.insmatheco.2009.09.001zbMath1231.91187MaRDI QIDQ659163

Quansheng Gao, Chengjun Hu

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.09.001

zbMATH Keywords

Kalman filter; Lee-Carter model; mortality forecasting; generalized dynamic factor model; multivariate generalized autoregressive conditionally heteroskedastic model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M07: Non-Markovian processes: hypothesis testing

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Uses Software

• LifeMetrics

Cites Work

• Modeling and Forecasting U.S. Mortality
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• Affine stochastic mortality
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• A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model