Forecasting mortality rate improvements with a high-dimensional VAR

Mathematical geography and demography (91D20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

Title not available (Why is that?)
Sparse estimation of a covariance matrix
Regularized estimation in sparse high-dimensional time series models
Modeling and Forecasting U.S. Mortality
Understanding, modelling and managing longevity risk: key issues and main challenges
Regularization and Variable Selection Via the Elastic Net
Ridge Regression: Biased Estimation for Nonorthogonal Problems
Covariance regularization by thresholding
Robust forecasting of mortality and fertility rates: a functional data approach
Bootstrapping Lasso Estimators
On stochastic mortality modeling
Investigating Causal Relations by Econometric Models and Cross-spectral Methods
Modelling adult mortuality in small populations the saint model
A Poisson log-bilinear regression approach to the construction of projected lifetables.
A Gravity Model of Mortality Rates for Two Related Populations
Testing for unit roots in autoregressive-moving average models of unknown order
Trends and random walks in macroeconomic time series
Modelling and management of mortality risk: a review
A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
A cohort-based extension to the Lee-Carter model for mortality reduction factors
Smoothing and forecasting mortality rates
A General Procedure for Constructing Mortality Models
Parametric mortality improvement rate modelling and projecting
On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
Multi-population mortality models: fitting, forecasting and comparisons
Multi-population mortality models: a factor copula approach
Robustness and convergence in the Lee-Carter model with cohort effects
DIFFERENCES IN EUROPEAN MORTALITY RATES: A GEOMETRIC APPROACH ON THE AGE–PERIOD PLANE
A class of random field memory models for mortality forecasting
Two‐Dimensional Kernel Smoothing of Mortality Surface: An Evaluation of Cohort Strength
Basis risk modelling: a cointegration-based approach
Extrapolation of Stationary Random Fields
COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH

Cited In (13)

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
Longevity risk and capital markets: the 2019--20 update
MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL
A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS
Forecasting mortality rate by multivariate singular spectrum analysis
High-dimensional VARs with common factors
Age-coherent extensions of the Lee–Carter model
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
Coherent Mortality Forecasting with a Model Averaging Approach: Evidence from Global Populations

Uses Software

R
forecast
glmnet
Demography
spcov
Human Mortality
StMoMo
sparsevar

This page was built for publication: Forecasting mortality rate improvements with a high-dimensional VAR

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2273994)