Forecasting longevity gains using a seemingly unrelated time series model

DOI10.1002/FOR.2362MaRDI QIDQ4687563zbMATH OpenOpenAlexFDO

Authors César Neves, Cristiano Fernandes, Alvaro Veiga

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2362

zbMATH Keywords

Kalman filteringmortality ratesstructural modelSUTSE model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(4)

• Modeling and forecasting U.S. mortality. (With discussion)
• Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans
• A multivariate time series approach to projected life tables
• Forecasting life expectancy: evidence from a new survival function

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