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

DOI10.7916/D89P38BNMaRDI QIDQ5745189zbMATH OpenOpenAlexFDO

Authors G. 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

MCMCregularizationshrinkage priorsage-period-cohort modelsmortality trends

Mathematics Subject Classification ID

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

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Cites work

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• Bayesian Poisson log-bilinear models for mortality projections with multiple populations
• Data Analysis Using Stein's Estimator and its Generalizations
• Loss Models
• Modeling and forecasting U.S. mortality. (With discussion)
• On Measuring and Correcting the Effects of Data Mining and Model Selection
• Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Some Generalized Functions for the Size Distribution of Income

Cited in

(6)

• A group regularisation approach for constructing generalised age-period-cohort mortality projection models
• Empirical Bayes age-period-cohort analysis of retrospective incidence data
• Semiparametric regression for dual population mortality
• New loss reserve models with persistence effects to forecast trapezoidal losses in run-off triangles
• Longevity risk and capital markets: the 2019--20 update
• A mortality model for pandemics and other contagion events

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