Forecasting mortality with international linkages: a global vector-autoregression approach

DOI10.1016/J.INSMATHECO.2021.04.006zbMATH Open1471.91470OpenAlexW3157879576MaRDI QIDQ2234751FDOQ2234751

Hong Li, Yanlin Shi

Publication date: 19 October 2021

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.04.006

zbMATH Keywords

multiple populationscoherent mortality forecastingco-integrationglobal vector-autoregressionhyperbolic memory process

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Modeling and Forecasting U.S. Mortality
• Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Robust forecasting of mortality and fertility rates: a functional data approach
• Tests of Conditional Predictive Ability
• Estimation of (near) low-rank matrices with noise and high-dimensional scaling
• A Gravity Model of Mortality Rates for Two Related Populations
• Measuring Basis Risk in Longevity Hedges
• A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates
• A Bayesian non-parametric model for small population mortality
• A common age effect model for the mortality of multiple populations
• The choice of sample size for mortality forecasting: a Bayesian learning approach
• Modelling and forecasting government bond spreads in the euro area: a GVAR model
• Gompertz law revisited: forecasting mortality with a multi-factor exponential model
• Forecasting mortality in subpopulations using Lee-Carter type models: a comparison
• Panel Vector Autoregressive Models: A Survey
• A forecast reconciliation approach to cause-of-death mortality modeling
• A class of random field memory models for mortality forecasting
• Identifiability, cointegration and the gravity model
• Basis risk modelling: a cointegration-based approach
• Forecasting mortality rate improvements with a high-dimensional VAR
• COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH
• FORECASTING MULTIPLE FUNCTIONAL TIME SERIES IN A GROUP STRUCTURE: AN APPLICATION TO MORTALITY

Cited In (2)

• Multi-population mortality modelling: a Bayesian hierarchical approach
• Modelling mortality: A bayesian factor-augmented var (favar) approach

Uses Software

• fpp2

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