Mortality forecasting with a spatially penalized smoothed VAR model

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<dc:creator>Chang, Le </dc:creator>
<dc:creator>Shi, Yanlin </dc:creator>
<dc:date>2021-01-01</dc:date>
<dc:description xml:lang="es">Sumario: This paper investigates a high-dimensional vector-autoregressive (VAR) model in mortality modeling and forecasting. We propose an extension of the sparse VAR (SVAR) model fitted on the log-mortality improvements, which we name spatially penalized smoothed VAR (SSVAR). By adaptively penalizing the coefficients based on the distances between ages, SSVAR not only allows a flexible data-driven sparsity structure of the coefficient matrix but simultaneously ensures interpretable coefficients including cohort effects. Moreover, by incorporating the smoothness penalties, divergence in forecast mortality rates of neighboring ages is largely reduced, compared with the existing SVAR model. A novel estimation approach that uses the accelerated proximal gradient algorithm is proposed to solve SSVAR efficiently. Similarly, we propose estimating the precision matrix of the residuals using a spatially penalized graphical Lasso to further study the dependency structure of the residuals. Using the UK and France population data, we demonstrate that the SSVAR model consistently outperforms the famous LeeCarter, HyndmanUllah, and two VAR type models in forecasting accuracy. Finally, we discuss the extension of the SSVAR model to multi-population mortality forecasting with an illustrative example that demonstrates its superiority in forecasting over existing approaches.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/174687.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Data driven</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Mortality forecasting with a spatially penalized smoothed VAR model</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2021 Volumen 51 Número 1 - enero 2021 , p. 161-189</dc:relation>
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