FORECASTING MULTIPLE FUNCTIONAL TIME SERIES IN A GROUP STRUCTURE: AN APPLICATION TO MORTALITY

DOI10.1017/asb.2020.3zbMath1447.91148arXiv2001.03658OpenAlexW3008191167MaRDI QIDQ5119561

Steven Haberman, Han Lin Shang

Publication date: 31 August 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.03658

zbMATH Keywords

bottom-up methodmultivariate functional principal component analysisforecast reconciliationJapanese mortality databaseoptimal combination method

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (3)

Locally-coherent multi-population mortality modelling via neural networks ⋮ Forecasting mortality with international linkages: a global vector-autoregression approach ⋮ Time-series forecasting of mortality rates using deep learning

Uses Software

• forecast
• Forecast

Cites Work

• Optimal combination forecasts for hierarchical time series
• Modeling and Forecasting U.S. Mortality
• Robust forecasting of mortality and fertility rates: a functional data approach
• Grouped multivariate and functional time series forecasting: an application to annuity pricing
• A forecast reconciliation approach to cause-of-death mortality modeling
• Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data
• Actuarial Mathematics for Life Contingent Risks
• Combining Interval Forecasts
• Optimal Forecast Reconciliation for Hierarchical and Grouped Time Series Through Trace Minimization
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Causes-of-Death Mortality: What Do We Know on Their Dependence?
• On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England

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