Age-Coherent Mortality Modeling and Forecasting Using a Constrained Sparse Vector-Autoregressive Model

DOI10.1080/10920277.2021.2018614OpenAlexW4211137278MaRDI QIDQ5877352FDOQ5877352

Yanlin Shi, Le Chang

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

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Modeling and Forecasting U.S. Mortality
• Least angle regression. (With discussion)
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
• Sparse inverse covariance estimation with the graphical lasso
• Variable selection in regression with compositional covariates
• Monotonic Smoothing Splines Fitted by Cross Validation
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Algorithms for Fitting the Constrained Lasso
• A class of random field memory models for mortality forecasting
• Basis risk modelling: a cointegration-based approach
• Penalized and Constrained Optimization: An Application to High-Dimensional Website Advertising
• Forecasting mortality rate improvements with a high-dimensional VAR
• COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH
• MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL

Uses Software

• glasso
• ConstrainedLasso

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