Grouped multivariate and functional time series forecasting: an application to annuity pricing
DOI10.1016/j.insmatheco.2017.05.007zbMath1394.62146arXiv1705.08001OpenAlexW2620093294WikidataQ58288546 ScholiaQ58288546MaRDI QIDQ2364018
Steven Haberman, Han Lin Shang
Publication date: 17 July 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.08001
Lee-Carter methodbottom-up methodhierarchical time seriesforecast reconciliationJapanese mortality databaseoptimal-combination method
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20)
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