Pitfalls and merits of cointegration-based mortality models
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Publication:2292183
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Cites work
- scientific article; zbMATH DE number 877838 (Why is no real title available?)
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- Coherent forecasting of mortality rates: a sparse vector-autoregression approach
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Forecasting with the age-period-cohort model and the extended chain-ladder model
- Granger's representation theorem: A closed‐form expression for I(1) processes
- Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type
- Identifiability, cointegration and the gravity model
- Identification and forecasting in mortality models
- International cause-specific mortality rates: new insights from a cointegration analysis
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Longevity hedge effectiveness: a decomposition
- Measuring Basis Risk in Longevity Hedges
- Modeling and forecasting U.S. mortality. (With discussion)
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- Statistical modeling: The two cultures. (With comments and a rejoinder).
- Testing for a unit root in time series regression
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
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- To explain or to predict?
Cited in
(11)- International cause-specific mortality rates: new insights from a cointegration analysis
- Basis risk modelling: a cointegration-based approach
- Identifiability, cointegration and the gravity model
- Longevity risk and capital markets: the 2019--20 update
- Multi-population mortality modelling: a Bayesian hierarchical approach
- Modelling mortality: A bayesian factor-augmented var (favar) approach
- Stochastic Mortality Models and Pandemic Shocks
- The relationship between longevity and lifespan variation
- THE SAINT MODEL: A DECADE LATER
- China's population mortality prediction based on the cointegration theory
- Short- and Long-Term Dynamics of Cause-Specific Mortality Rates Using Cointegration Analysis
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