Grouped multivariate and functional time series forecasting: an application to annuity pricing
From MaRDI portal
Publication:2364018
Abstract: Age-specific mortality rates are often disaggregated by different attributes, such as sex, state, ethnic group and socioeconomic status. In making social policies and pricing annuity at national and subnational levels, it is important not only to forecast mortality accurately, but also to ensure that forecasts at the subnational level add up to the forecasts at the national level. This motivates recent developments in grouped functional time series methods (Shang and Hyndman, 2017) to reconcile age-specific mortality forecasts. We extend these grouped functional time series forecasting methods to multivariate time series, and apply them to produce point forecasts of mortality rates at older ages, from which fixed-term annuities for different ages and maturities can be priced. Using the regional age-specific mortality rates in Japan obtained from the Japanese Mortality Database, we investigate the one-step-ahead to 15-step-ahead point-forecast accuracy between the independent and grouped forecasting methods. The grouped forecasting methods are shown not only to be useful for reconciling forecasts of age-specific mortality rates at national and subnational levels, but they are also shown to allow improved forecast accuracy. The improved forecast accuracy of mortality rates is of great interest to the insurance and pension industries for estimating annuity prices, in particular at the level of population subgroups, defined by key factors such as sex, region, and socioeconomic grouping.
Recommendations
- Forecasting multiple functional time series in a group structure: an application to mortality
- Dynamic principal component regression for forecasting functional time series in a group structure
- Common functional principal component models for mortality forecasting
- Mortality and life expectancy forecasting for a group of populations in developed countries: a multilevel functional data method
- Coherent mortality forecasting by the weighted multilevel functional principal component approach
Cites work
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Actuarial Mathematics for Life Contingent Risks
- Causes-of-Death Mortality: What Do We Know on Their Dependence?
- Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate
- Fast computation of reconciled forecasts for hierarchical and grouped time series
- Forecasting contemporal time series aggregates
- Forecasting functional time series
- Forecasting with temporal hierarchies
- scientific article; zbMATH DE number 5522381 (Why is no real title available?)
- Lee-Carter mortality forecasting with age-specific enhancement.
- Longevity and adjustment in pension annuities, with application to Finland
- Making and evaluating point forecasts
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling Financial Time Series with S-PLUS®
- Mortality and life expectancy forecasting for a group of populations in developed countries: a multilevel functional data method
- On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England
- On the prediction of stationary functional time series
- Optimal combination forecasts for hierarchical time series
- Robust forecasting of mortality and fertility rates: a functional data approach
- Smoothing and forecasting mortality rates
- Strictly Proper Scoring Rules, Prediction, and Estimation
- The CBD Mortality Indexes: Modeling and Applications
- The mortality of the Italian population: smoothing techniques on the Lee-Carter model
Cited in
(12)- How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach
- Understanding forecast reconciliation
- Assessing mortality inequality in the U.S.: what can be said about the future?
- A forecast reconciliation approach to cause-of-death mortality modeling
- Dynamic principal component regression: application to age-specific mortality forecasting
- Analyzing mortality bond indexes via hierarchical forecast reconciliation
- Dynamic principal component regression for forecasting functional time series in a group structure
- Forecasting multiple functional time series in a group structure: an application to mortality
- Forecasting mortality rates with a coherent ensemble averaging approach
- Coherent Mortality Forecasting with a Model Averaging Approach: Evidence from Global Populations
- Forecasting High-Dimensional Functional Time Series: Application to Sub-National Age-Specific Mortality
- Forecast mortality rates with copula-based approaches: novel evidence from integrated reconciliation
This page was built for publication: Grouped multivariate and functional time series forecasting: an application to annuity pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2364018)
