Centro de Documentacion de Fundación MAPFRE - Coherent forecasting of mortality rates : a sparse vector-autoregression approach

MAP20170019848

Coherent forecasting of mortality rates : a sparse vector-autoregression approach / Hong Li, Yang Lu

Sumario: This paper proposes a spatial-temporal autoregressive model for the mortality surface, where mortality rates of each age depend on the historical values of itself (temporality) and the neighbouring ages (spatiality). The mortality dynamics is formulated as a large, first order vector autoregressive model which encompasses standard factor models such as the Lee and Carter (1992) model. Sparsity and smoothness constraints are then introduced, based on the idea that the nearer the two ages, the more important the dependence between mortalities at these ages. Our model has several novelties. First, it ensures that in the longrun, mortality rates at different ages do not diverge. Second, it provides a natural explanation of the so-called cohort effect without identifiability difficulties. Third, themodel is easily extended to themultiple-population case in a coherent way. Finally, themodel is associated with a closed form, non-parametric estimationmethod: the penalized least square, which ensures spatial smoothness of the age-dependent parameters. Using US and UK mortality data, we find that our model produces reasonable projected mortality profile in the long-run, as well as satisfying short-run out-of-sample forecast performance

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2017 Volumen 47 Número 2 - mayo 2017 , p. 563-600

1. Mortalidad . 2. Cálculo actuarial . 3. Matemática del seguro . I. Lu, Yang . II. Title.