PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE

DOI10.1017/asb.2017.21zbMath1390.62226OpenAlexW2625888604MaRDI QIDQ5745189

Gary Venter, Şule Önsel Şahin

Publication date: 5 June 2018

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

Full work available at URL: https://semanticscholar.org/paper/2f0a5942fcbbea42aa9dbf380696ca84bdfe4d5e

zbMATH Keywords

regularizationmortality trendsMCMCshrinkage priorsage-period-cohort models

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

Semiparametric Regression for Dual Population Mortality ⋮ NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES ⋮ A Mortality Model for Pandemics and Other Contagion Events ⋮ A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS ⋮ Longevity risk and capital markets: the 2019--20 update

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