Dynamic mortality factor model with conditional heteroskedasticity

DOI10.1016/J.INSMATHECO.2009.09.001zbMath1231.91187OpenAlexW2055504549MaRDI QIDQ659163

Quansheng Gao, Chengjun Hu

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.09.001

zbMATH Keywords

Kalman filterLee-Carter modelmortality forecastinggeneralized dynamic factor modelmultivariate generalized autoregressive conditionally heteroskedastic model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (9)

Multi-population mortality modeling: when the data is too much and not enough ⋮ A class of random field memory models for mortality forecasting ⋮ Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach ⋮ A dynamic parameterization modeling for the age-period-cohort mortality ⋮ Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans ⋮ MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS ⋮ Multi-population mortality models: a factor copula approach ⋮ ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION ⋮ Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?

Uses Software

• LifeMetrics

Cites Work

• Modeling and Forecasting U.S. Mortality
• Improved penalization for determining the number of factors in approximate factor models
• Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models
• Robust forecasting of mortality and fertility rates: a functional data approach
• On the forecasting of mortality reduction factors
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Affine stochastic mortality
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Determining the Number of Factors in the General Dynamic Factor Model
• A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model

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