Mortality forecasting with a spatially penalized smoothed VAR model
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Cites work
- A bidimensional approach to mortality risk
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A comparative study of two-population models for the assessment of basis risk in longevity hedges
- A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
- A general procedure for constructing mortality models
- A gravity model of mortality rates for two related populations
- A multivariate time series approach to projected life tables
- An iterative thresholding algorithm for linear inverse problems with a sparsity constraint
- Basis risk modelling: a cointegration-based approach
- Coherent forecasting of mortality rates: a sparse vector-autoregression approach
- Forecasting mortality rate improvements with a high-dimensional VAR
- Ideal spatial adaptation by wavelet shrinkage
- Measuring Basis Risk in Longevity Hedges
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling period effects in multi-population mortality models: applications to Solvency II
- Modelling residuals dependence in dynamic life tables: a geostatistical approach
- Pricing and securitization of multi-country longevity risk with mortality dependence
- Regularization and Variable Selection Via the Elastic Net
- Regularized estimation in sparse high-dimensional time series models
- Robust forecasting of mortality and fertility rates: a functional data approach
- Sparse inverse covariance estimation with the graphical lasso
- Statistics for spatio-temporal data
- Understanding, modelling and managing longevity risk: key issues and main challenges
Cited in
(10)- Modeling mortality with a Bayesian vector autoregression
- Forecasting mortality with international linkages: a global vector-autoregression approach
- Forecasting mortality rate improvements with a high-dimensional VAR
- Coherent forecasting of mortality rates: a sparse vector-autoregression approach
- Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach
- Age-Coherent Mortality Modeling and Forecasting Using a Constrained Sparse Vector-Autoregressive Model
- Modelling mortality: A bayesian factor-augmented var (favar) approach
- Forecasting mortality rates with a coherent ensemble averaging approach
- Parameter estimation and forecasts for an integrated Lee-Carter model
- Coherent Mortality Forecasting with a Model Averaging Approach: Evidence from Global Populations
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