Forecasting mortality rate improvements with a high-dimensional VAR
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Publication:2273994
DOI10.1016/J.INSMATHECO.2019.07.004zbMATH Open1425.91223OpenAlexW2777572735MaRDI QIDQ2273994FDOQ2273994
Authors: Quentin Guibert, Olivier Lopez, Pierrick Piette 
Publication date: 19 September 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://basepub.dauphine.fr/handle/123456789/19686
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Mathematical geography and demography (91D20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (17)
- Forecasting mortality trends allowing for cause-of-death mortality dependence
- Age-coherent extensions of the Lee-Carter model
- High-dimensional functional time series forecasting: an application to age-specific mortality rates
- Forecasting mortality with international linkages: a global vector-autoregression approach
- Age-Coherent Mortality Modeling and Forecasting Using a Constrained Sparse Vector-Autoregressive Model
- Smooth projection of mortality improvement rates: a Bayesian two-dimensional spline approach
- Separable factor analysis with applications to mortality data
- Coherent forecasting of mortality rates: a sparse vector-autoregression approach
- Longevity risk and capital markets: the 2019--20 update
- Forecasting mortality rate by multivariate singular spectrum analysis
- High-dimensional VARs with common factors
- Modelling mortality: A bayesian factor-augmented var (favar) approach
- Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach
- Forecasting mortality rates with a coherent ensemble averaging approach
- Mortality forecasting with a spatially penalized smoothed VAR model
- Coherent Mortality Forecasting with a Model Averaging Approach: Evidence from Global Populations
- A group regularisation approach for constructing generalised age-period-cohort mortality projection models
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