Age-Coherent Mortality Modeling and Forecasting Using a Constrained Sparse Vector-Autoregressive Model
From MaRDI portal
Publication:5877352
DOI10.1080/10920277.2021.2018614OpenAlexW4211137278MaRDI QIDQ5877352
Publication date: 10 February 2023
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2021.2018614
Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)
Uses Software
Cites Work
- Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
- Modeling and Forecasting U.S. Mortality
- Sparse inverse covariance estimation with the graphical lasso
- Variable selection in regression with compositional covariates
- A class of random field memory models for mortality forecasting
- Least angle regression. (With discussion)
- Forecasting mortality rate improvements with a high-dimensional VAR
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- Understanding, modelling and managing longevity risk: key issues and main challenges
- Penalized and Constrained Optimization: An Application to High-Dimensional Website Advertising
- Algorithms for Fitting the Constrained Lasso
- Monotonic Smoothing Splines Fitted by Cross Validation
- COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH
- MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL
- Basis risk modelling: a cointegration-based approach
This page was built for publication: Age-Coherent Mortality Modeling and Forecasting Using a Constrained Sparse Vector-Autoregressive Model