Multi-population mortality forecasting using tensor decomposition
In this paper, weformulate the multi-population mortalityforecasting problem based on 3-way (age, year, and country/gender) decompositions. By applying the canonical polyadic decomposition (CPD) and the different forms of the Tucker decomposition to multi-population mortality data (10 European countries and 2 genders), we find that the out-of-sample forecasting performance is significantly improved both for individual populations and the aggregate population compared with using the...[Show more]
|Collections||ANU Research Publications|
|Source:||Scandinavian Actuarial Journal|
|01_Dong_Multi-population_mortality_2020.pdf||3.28 MB||Adobe PDF|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.