Forecasting mortality rate improvements with a high-dimensional VAR
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Publication:2273994
DOI10.1016/j.insmatheco.2019.07.004zbMath1425.91223OpenAlexW2777572735MaRDI QIDQ2273994
Pierrick Piette, Quentin Guibert, Olivier Lopez
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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Related Items (11)
A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS ⋮ Modelling mortality: A bayesian factor-augmented var (favar) approach ⋮ Forecasting mortality rates with a coherent ensemble averaging approach ⋮ Smooth projection of mortality improvement rates: a Bayesian two-dimensional spline approach ⋮ High-dimensional VARs with common factors ⋮ Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach ⋮ Forecasting mortality with international linkages: a global vector-autoregression approach ⋮ MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Age-coherent extensions of the Lee–Carter model ⋮ Age-Coherent Mortality Modeling and Forecasting Using a Constrained Sparse Vector-Autoregressive Model
Uses Software
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