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

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

Authors: 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

Recommendations

• Modelling mortality: A bayesian factor-augmented var (favar) approach
• Mortality forecasting with a spatially penalized smoothed VAR model
• Coherent forecasting of mortality rates: a sparse vector-autoregression approach
• A dynamic factor approach to mortality modeling
• Forecasting mortality rate improvements with a high-dimensional VAR

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. (With discussion)
• 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 (4)

• Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
• Age-Coherent Mortality Modeling and Forecasting Using a Constrained Sparse Vector-Autoregressive Model
• Multi-population mortality modelling: a Bayesian hierarchical approach
• Modelling mortality: A bayesian factor-augmented var (favar) approach

Uses Software

• fpp2

This page was built for publication: Forecasting mortality with international linkages: a global vector-autoregression approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2234751)