Centro de Documentacion de Fundación MAPFRE - Age-coherent mortality modeling and forecasting using a constrained sparse vector-autoregressive model

MAP20230012512

Age-coherent mortality modeling and forecasting using a constrained sparse vector-autoregressive model / Le Chang & Yanlin Shi

Sumario: Accurate forecasts and analyses of mortality rates are essential to many practical issues, such as population projections and the design of pension schemes. Recent studies have considered a spatialtemporal autoregressive (STAR) model, in which the mortality rates of each age depend on their own historical values (temporality) and the neighboring cohort ages (spatiality). Despite the realization of age coherence and improved forecasting accuracy over the famous Lee-Carter (LC) model, the assumption of STAR that only the effects of the same and the neighboring cohorts exist can be too restrictive. In this study, we adopt a datadriven principle, as in a sparse vector autoregressive (SVAR) model, to improve the flexibility of the parametric structure of STAR and develop a constrained SVAR (CSVAR) model. To solve its objective function consisting of non-standard L2 and L1 penalties subject to constraints, we develop a new algorithm and prove the existence of the desirable age-coherence in CSVAR

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 05/12/2022 Tomo 26 Número 4 - 2022 , p. 591-609

1. Cálculo actuarial . 2. Mortalidad . 3. Análisis de datos . 4. Análisis vectorial . I. Shi, Yanlin . II. Título.