Centro de Documentación y Conocimiento de Fundación Mapfre > Forecasting mortality rates with functional signatures

Forecasting mortality rates with functional signatures / Zhong Jing Yap, Dharini Pathmanathan and Sophie Dabo-Niang

Sumario: This study introduces an innovative methodology for mortality forecasting, which integrates signature-based methods within the functional data framework of the HyndmanUllah (HU) model. This new approach, termed the HyndmanUllah with truncated signatures (HUts) model, aims to enhance the accuracy and robustness of mortality predictions. By utilizing signature regression, the HUts model is able to capture complex, nonlinear dependencies in mortality data which enhances forecasting accuracy across various demographic conditions

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 29/01/2025 Volume 55 Issue 1 - January 2025 , p. 97 - 120

1. Modelos matemáticos . 2. Estadística matemática . 3. Cálculo integral . 4. Predicciones estadísticas . 5. Mortalidad . 6. Tablas de mortalidad . 7. Proyecciones demográficas . I. Pathmanathan, Dharini . II. Dabo-Niang, Sophie . III. International Actuarial Association . IV. Título.